I've tried the first link. But at this time I decided to record from embedded Real Player.

Replay Media Catcher did the job perfectly.

Replay AV found the URL, but I had to add "?RAV=REAL" (without quotes) to use the Real Player as a user-agent. However I couldn't play its recordings.

NetXFer also needed the user agent to be changed to "RMA/1.0 (compatible; RealMedia)" (without quotes) .

If you have problems with Windows Media streams at musicindiaonline.com, please ask in the following thread:
Downloading and saving .asx & .wma streaming from musicindiaonline.com to hard disk