When I want to save a media stream (e.g. lectures from MIT) I use NetTransport (also serves as very good general-purpose download manager; the most recent version is shareware, but one can still find 1.87, which was free). If I then want to archive them, I simply use any old CD-ROM burning SW (like Nero or anything), or even built-in XP functionality.

Of course, I then need the app they were originally intended for in order to listen/watch them, so perhaps this is not an answer to your question