There are lots of programs that do this job, but in my opinion Total Recorder is the best. Not free, but it only costs 12 bucks (£6.60).
It will output a wav for you, so you can convert to any file format you like. Remember, if you use a lossy format you'll lose quality twice over because you're converting from lossy Real Audio in the first place.
By the way, the BBC are now experimenting with allowing downloads of full programs as mp3s. Hurrah! click here
This doesn't answer the question directly but......
If you have "stereo mix" or "what U hear" avalaible with your sound card, you ought to be able to record with Audacity without any other software.
My laptop doesn't have this so I do use Total Recorder; delighted with it.
For the main stream Radio Channels eg BBC, I also record freeview onto a DVD recorder, finalise the disc and the import into Audacity using the ffmpeg plug in. This process avoids the occasional dropouts i get in internet streaming