Sorry for the reply delayed due to the weekend.
You can also find the youtube file in the "temporary internet files" folder. Let's take this link for example:
After you finished playing the file, you can find "get_video?video_id=afpnpIEyfiw" file in the temporary folder. The file is actually the cache file of the flv. You can rename it to .flv to play it.
If the file can be played in Flash Player, the customer can download it, but you can try to set some parameter to prohibit people download it. Just like: Set actionscript in Flash Player to forward parameters to webserver, the file could be downloadable only the condition is true.
Hope that helps and have a nice day.