I do recommend Jaksta and it works fine for me. It can't record every stream possible, but it is definitely one of my favorite programs that can capture/download flash videos.

I can't capture Windows Media stream from the following page with Jaksta
but I recommend to use WM Recorder or freeware WebVideoCap to capture from Windows Media Player.

And live streams are more difficult to record. Depending on your connection you may prefer to use screen video capture software when recording live streams.