In a web browser, usually you can save images by right-clicking. If the page author has disabled right-click, sometimes in Firefox you can go to Page Info/Media in the toolbar and find the URL of the image and download it.
For videos, and images if the author has created a popup without a toolbar, you might be able to use a live HTTP header plugin, or run a packet trace and find the URL of the video in the live stream. It can get complicated with some Flash-driven video since the URL of the video is actually the URL of the player, passed the video as a parameter somehow. If the author has used SSL, or requires authentication with cookies and has dsabled cache, it can get nearly impossible.
