If you go to the internet temporary files and copy the file as it appears to a folder, then you should be able to make a copy on a CD. As long as your friend has software that can play the file it should work.
Well its back to the temp files then. If you have played this video it will have been copied to your temp internet files. If you go to TOOLS\Internet options\and click on the settings button on the middle row that says temp internet files it will tell you the location of the files. Go there and hunt for your video file. Might be a good idea to clean up the temp files first then replay the video as it will cut down the searching.