There is a website which provides a Local TV's Shows Archive.
I Can watch them with Windows Media Player, it buffers there. i can see that it's using for ex. mms://abc.com/video.wmv address.
How Can I Download That Video ?
mms://
is streaming protocol and, thus, media session is not necessarily backed by a file. For instance, it could be a live source of video/audio too. On your end you receive this stream of data and what you can do is to re-multitplex the data into a file.
Windows Media
APIs let you write incoming data into a file. For example you could be using DirectShow WM ASF Writer filter to do this (if your question refers to programmatic action, or otherwise you asked at wrong site).