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Get VLC. Install it and run it.
Go to File->Open network stream. Select the HTTP/HTTPS/FTP/MMS option and enter the third location you posted into the URL box. Then check the Stream/Save box (below in Advanced options) and hit the settings button.
Check the box next to File and the box next to Dump raw input. Use the browse button to choose a file to save to (manually add a .wmv extension when entering the filename).
Hit OK to clear all the dialogs and VLC should start doing its thing with the slider moving from left to right. When it gets to the end the slider should disappear and you should have a 2.42MB wmv file.
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