Jaksta Media Recorder is well known as an all in one Khanacademy Downloader, Khanacademy Recorder and Khanacademy Capture Tool and allows the downloading, recording and capturing of Video, Music and Radio.
Its easy to use Jaksta Media Recorder to record from Khanacademy. Simply play Khanacademy in your browser, and a copy of the Khanacademy video is downloaded to your PC. You can also just drag and drop (or cut and paste) webpage urls containing videos directly from your browser and Jaksta Media Recorder will extact the video. Its as simple as that!
More detailed steps are available in the How to Download from Khanacademy Guide