Download the video source file from youtube as a .flv file (it is a flash video source file). You can use this site to obtain the .flv files from youtube:
http://javimoya.com/blog/youtube_en.php
Once you have the .flv flash source file you will need to convert it to .wmv
The easiest way I know of to do that is with this video conversion program called "Super"
That "Super" program can be downloaded here:
http://www.erightsoft.net/SUPER.html#Down
The website where you download "Super" from should also have instructions on how to install the program and also use it to convert files once you have it installed.
Like I said, it gets messy real quick when you have to read the fine print to learn how to do all that stuff, but those are the top level basics.
Enjoy
