Underground And Other Stuff

StreamRipper32 is a free Open Source Windows program that allows you to save native format MP3 files from streamed sources such as internet radio. What's really neat is its ability to interpret and extract MP3 metadata from the stream. This means that the saved data will be in the form of separate MP3 files rather than one continuous recording. StationRipper is another utility that takes the same concept further. It's got a more user-friendly interface, an inbuilt database of radio stations and can process up to 600 different streams. It can also record podcasts. If you can afford the asking price of $14.99 I'd go for this. If not, the freeware StreamRipper32 will still do what you want, though in a slightly less convenient manner.
streamripper.sourceforge.net/sr32/