I didn't have any problem download RTMP stream from _http://www.rtp.pt/multimediahtml/progVideo.php?tvprog=26006 with Replay Media Catcher 4.



You can also download RTMP streams with freeware CooJah + Blader, Orbit Downloader, StreamTransport,...

And you can try to capture RTMP streams in real time while you listen to them using freeware CooJah (without Blader), Orbit Grab Pro.

If you use Linux, try rtmpsrv or rtmpsuck.

Related:
FAQ: How to record/download/capture/save Adobe Flash .FLV video RTMP stream from embedded player
How to record rtmp:// flash video .flv stream from embedded Adobe Flash Player