These files.. Have you tried Right Clicking the link and Selecting SAVE AS?
I don't know if WMP will 'record' Streaming Media. But, I know this works with Flash Movies. If you search your Temp Internet files, you can copy the 'copy' to a new folder and save it that way. .
There is a Player called HiNetRecorder which claims to record Streaming Media.
I have used it and it is a bit "hit and miss"