On Youtube, how can I get a video off of there, save it, and then use it in Windows Movie Maker?

okay, I want to make a slideshow with pictures and a video clip or two for a youtube video..so I need your help on how to get a clip off youtube, save/convert, etc. and incorporate it into my video using Windows Movie Maker..hope i'm not being too confusing

all help will be greatly appreciated :P thanks!
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