A faster way to look up for a url in a WebRequest/WebResponse html
I would bet that the regex.Match is the performance problem, as Jeff Atwood describes here.
One thing that I would do is move regex definition to a static variable outside of the function defined as below:
static Regex regex = new Regex(@&quot;&lt;a href=&quot;&quot;(.*?)&quot;&quot;&gt;WMV Download&lt;/a&gt;&quot;, RegexOptions.Compiled);

That's the only real thing that jumps out at me. Try taking a look at this blog post for more ideas and information.
Should give you something to try until guys with more experience glance their eyes over it :)