Saving Streaming Audio

Does anyone know of any programs you can use to save streaming audio (wax or wvx file or something similar) from the internet as an actual media file type such as wmv or mp3? It would probably have to record the audio and save it. I've searched for one a little bit, but I was wondering if anyone had any suggestions. Thanks!

 

From a copyright point of view, it's a bit of a dodgy area, but technically at least, Audacity can do this. It will record anything that your computer's sound card plays. I think it might only make a mono recording though.

 

SnagIt

 

Thanks for the suggestions so far but I think I might need to clarify a bit more. The audio I'm trying to save is a windows media playlist from the internet. If you click on the item, it begins to play in WMP, but as a playlist. You can save the playlist, and later open it, but it has to reconnect to the internet and load the audio. I'm trying to save the file as a regular file type, which will no longer need to connect to the internet to load, and which will allow me to burn the file on to a cd. I might not have been clear enough the first time, but this is what I'm trying to do. Any help would be appreciated, and, once again, thanks for the suggestions thus far.