[Stream Recorder]

Jam.fm offer Windows Media, Real Audio and Shoutcast streaming.

Windows Media and Real Audio/Video stream recorders can be found in the following chart:
All streaming media recording software

MP3 Shoutcast/Icecast stream recorders can be found in the following chart:
All streaming audio recording/ripping software

To find stream URL you may use a URL Finder (it can be built-in into your stream recorder). On this web-site you may also download metafiles (simple text files that redirect you to the stream) with files extensions like .ASX, .RAM, .PLS and get stream URLs from them with a simple text editor like Windows Notepad.

I recommend to record MP3 shoutcast stream 'coz MP3 files are much easier to edit (use free sound editor Audacity
Audacity or free lossless MP3 trimming software MP3DirectCut).

[bejizimit]

Using Windows Media Player 9.00.00.2980 up to about 6 months ago I could listen to one of the radio stations from the web. A *.wma file, about 7 megs, was saved to my temp internet folder. I could then play this file later, if I chose. Now, I listen just like before, but the file saved is a *.dat, which I cannot open with any media player to listen. I did not see any settings within the player to change this. What can I do without buying any of the software that's on the streaming software link?

Thanks!

[Stream Recorder]

That wasn't a media stream. That was a downloadable file.

As for capturing streaming Windows Media you may use GetAsfStream, SDP and some other freeware streaming media recorders.