Depends on your net connection - if your connection is slower than 512k, then yes downloading will be better quality.
EDIT: And you're right, it is already on the site, so here it is:
mms://wmt.streaming.telstra.com/wh_telstr18/OnDemand/2006/nrl/2006_telstra_premiership/round_07/match_replays_bulldogs_vs_sea_eagles4654.wmv
mms://wmt.streaming.telstra.com/wh_telstr18/OnDemand/2006/nrl/2006_telstra_premiership/round_07/match_replays_bulldogs_vs_sea_eagles4655.wmv