to the topic starter:
is it mms media stream or just normal http stream?
if it is,try this tiny software
WebVideoCap
it do the same as
WM Recorder
do as they capture packets through the WMP when you're watching
make sure you check the "Keep the captured files opened until the capture is finished" in advanced box
choose winpcap driver in capture method is recommended
start capture before start the stream,and stop it after the stream is finished playing