Freeware URL Snooper can easily find http:// .ra URLs from skyjazz.com
You can download these .RA files even with your browser. Or you can use any download manager.

But to find these stream URLs with URL Snooper, you need to play them in the embedded real player. Instead of Real Player, you may try to use freeware Real Alternative.

As for the players, I really liked winamp, but I prefer to use AIMP or Foobar, because they are also free, but provide better music quality and interface.