Streaming media URLs on the following page
http://tipitinas.com/content/webcast/
link to the files with .asx extensions.

It means that Windows Media streams are used. See the list of media stream recorders supporting Windows Media streams. WM Recorder is the most powerful Windows media streams recorder, besides it is very easy to use and can record Windows Media streams automatically.

You may also use many other programs. Some of them are free. If you're going to use other software you should learn How to get the URL of a media stream.