Software to copy audio from a website

I have a friend in college with a professor who post his lectures on a website for them to listen to again latter as streaming audio (both recorded and live sometimes), They want to be able to download both the recorded and live streaming audio to make a Cd to listen to in their car as they have a long drive to the college and this would help them "study" instead of listening to the radio etc. is this possible if so can you suggest a free program, They will be burning the Cd with either Nero 9 or Imgburn.

Thanks

 

thanks did not know vlc did that will have to give it a whirl.