There is a very good post on Lifehacker on how to download the stream to watch later. They talk about Youtube, Hulu and even Netflix. One solution they recommend specifically for Hulu is to use RTMPDumpHelper and RTMP Dump Toolkit.
All you need to do is download two zip files: http://rtmpdump.mplayerhq.hu/download/rtmpdump-20110925-git-6230845-win32.zip and http://www.nirsoft.net/utils/rtmpdumphelper.zip then unzip to the same folder somewhere on your computer (Windows only). After that you just run the Run the RTMPDumpHelper.exe and go to the page you want to stream. It will save the file to the folder on you disk, that's it!