Capturing streaming audio?

How can I -- or *can* I -- capture streaming audio, viz. a short NPR 
audio newsclip that comes in as a Windows Media Player file?

(The link initially offered me a choice of Real Player or WMP formats; I 
chose the latter since then it seems to default to WMP without asking.)

Mac OS 10.3.9, Netscape 7.0.2, WMP 9.0.0, DSL connection.

Is there a way to do this?

(And just for the record, I'm not interested in capturing music or 
lengthy files off the Internet; I'd just like to be able to replay a few 
clips like this for others after I've gone offline.)