Is There a Way...

…to download streaming audio?

I want to take a show that was on the radio last night and save it because there was a band on that did a great live cover.

(The Zutons & the London Gospel Community Choir did “Higher & Higher” at BBC One's studio in Maida Vale.)

(Yes, it's the song from the Statue of Liberty scene in Ghostbusters II).

Link in the title... please help!

Update: Tommy is a genius and now I have my Colin Murray show file. And eventually I will clip out the song. Thank you Tommy!
Update 2: Frank is another genius and clipped the song properly. Thank you Frank!