Discovery Kids (tudiscoverykids.com) offers RTSP .asf streaming videos (Windows Media video files streamed through the RTSP protocol). The best software to capture them is WM Recorder or freeware WebVideoCap. Both programs allow you to capture packets coming to your Windows Media Player.

You may also download these streams with many other programs including Replay Media Catcher:
Tutorial: How to download free video streams from Discovery Kids with Replay Media Catcher