there used to be a program called streambox vcr and streambox ripper. one would grab the real file as it was being played live, or download it from the server, and the other would convert to either wav, aiff, or mp3.
i haven't used it in a while, but the last time i tried, something with the new realaudio format's wouldn't allow it to be converted. i don't know if they finally found a way around it, but last time, it refused to work for me.
i'll try again with another site, but i think all hope might be lost.
but, as stated, if its streaming, and you have a full duplex soundcard, you can record whats coming through your speakers all in one fell swoop.