The script is still under development. I'm cleaning it up and adding a few minor features. Keep checking back for a finished product. Until then, here's a semi-functional version. This version does not yet check for "http://" at the beginning, so make sure that the url that you paste or type includes that or you probably won't get the results that you want.
"MakeURL" is something that I wrote several years back to practice PHP. I needed the ability to save videos and other files locally that were embedded in web pages when my browser's plugins were acting hokey, or it insisted on using an application that I didn't want to use at that moment.
Simply enter the full URL of the file and click go! The script will create a hyperlink for you to right-click and save-as.
Enjoy!