For a documentary film you're going to need copyright clearances, so you should start at the licensing office of CNN.
At this point I am mostly curious about the theory. I am curious how a hacker would go about finding the URL and download the files themselves. I looked at Youtube source code and examined it with a HTTP debugger and can't seem to figure out the URL of where the video is stored but I know it is possible because the JDownloader program does it. I am sure that I, along with many here, would be able to benefit from knowing how to download from various "streaming only" video websites.
See, e.g., the Daily Show, which does not license the news footage it shows.