If it's one of Coach Nichole's in the SparkPeople video library
you can save it to your favorites
or you can probably find it on YouTube
and save it to your playlist.
I don't know of any way to save it to my computer
(I have a slow connection and it's the pits to be in the middle
of a workout and have to wait 2 or 3 minutes for it to load!)
but on YouTube, I can lower the quality
so that it plays thru without interruption.