I usually use REAL Player to download videos on the web and it works on most sites. That said, however, there are some sites (and I'm assuming that The Daily Show is one of them) that don't allow such downloading and like you encountered you only get the ad at the beginning of the video when you try to download. I don't know of a work around, unfortunately.

Did is a word of achievement
Won't is a word of retreat
Might is a word of bereavement
Can't is a word of defeat
Ought is a word of duty
Try is a word of each hour
Will is a word of beauty
Can is a word of power

--Author Unknown