In the past, I used Beebotron (http://beebotron.org/index3lite.php?reload) to get the Windows Media Player links to the program (find program, right click, copy link location) then used NetTransport to download it. And then if you want it other than in .wma format, I used to use Wavepad to convert to mp3. But now I don't commute to an office with an ipod, I don't bother with the last bit.

But times have moved on and I expect there is a much easier way that I don't know about. Husband, like read2day, recommends Audacity but I can't get it to work on my desktop.