You can try to change http onto mms in the URL. See the following thread for a similar discussion:
Can't record Windows Media stream .mp3?MSWMExt=.asf
I used the latest version of
WM Recorder and it perfectly recorded this windows media .asf stream for me.
Another software that I can suggest is freeware
WebVideoCap, but I'm pretty sure many other stream rippers like
HiDownload can download the stream for you as well.