Here is some software that I have tried before, but it doesn't save all Flash animations from Internet Explorer:
Flash Saving Plugin from BrowserTools.Net
FlashCatcher from JustDoSoft
Some of them can extract sound and pictures, though:
SWF Extractor from GlobFX
Flash Decompiler from Eltimate Software
SWF Decompiler from SoThink
.. but the best one I have found is for Firefox.
Video Downloader 2.0 can download flash from YouTube, Google, iFilm, Metacafe, DailyMotion and Music.