As with any other stream:
1. Find stream URL
2. Choose a stream recorder supporting protocol and format of the media stream you wanna record.

Here we've got a Windows Media .wmv video stream
mms://213.254.239.51/reading2006/msmedia/yeahyeahyeahsM325k.wmv
that can be easily recorded with any stream recorder supporting Windows Media streamed through the MMS protocol.
Recommended stream recorders: WM Recorder, Replay A/V.