Video displays but doesn't save in Mac 10.5

I use Mac OS 10.5 with Safari. This Vimeo link (http://vimeo.com/57518453) displays fine, but doesn't seem to save anywhere... nothing in my downloads folder, no evidence of download activity in the download window, and no filename displayed... just an HTTP address. (http://pdl.vimeocdn.com/24778/503/139369149.mp4?aksessionid=499492730d0cf2adf822afb3d9e08236&token=1360510367_46b0ae29294ac9a22e88cd9adabebf3f)
VERY frustrating!