Some video sites allow you to download a show but they are broken up into multiple FLV files. The attached Avidemux Tinypy script will allow you to choose folder and join all the FLV files that are found inside and save it in a MKV container (more video player friendly).

If you need to join other file types, modify the following lines:
ext="flv"

If you need to save as another file container type, modify the following lines:
adm.setContainer("MKV")
and
outputFile = inputFolder+"\\"+directoryName+".mkv"

Pardon the messy code, it was done as a quick and dirty script.

Click here to download the script