The following tutorial from this very site may be of help:-
You may also want to check out
which can help you to download the hidden .flv files from flash based video websites.
I've used Keepvid + Replay Converter (commercial) to get .avi's which can play on Windows Mobile.
If you find a player which can play .flv files directly on Windows Mobile, I'd be interested, as the conversion process with Replay Converter is quite slow.