Update:

aebn.net offers Windows Media, Real Media and Silverlight streams / downloads.

The best way to capture Windows Media streams is by using WM Recorder in the PRO mode or freeware WebVideoCap. WM Recorder can even record DRM protected streams, although it won't remove DRM protection for you.

If the web-site uses DRM protected Windows Media streams, Smooth Streaming v2 or encrypted Silverlight streams, you use screen video capture software to record them.

p.s. Please also read the legal notes in the post above.