Use MPlayer to record live streams from the Internet
All you need to record a live stream from the web is MPlayer. Use the -dumpstream argument to capture a MMS, ASF or Live WMV stream to a file called stream.dump.
mplayer -dumpstream mmsh://streamer3.carnation.hu/mtvonlinem2?MSWMExt=.asf
will create a stream.dump file that you can later rename to my_recorded_stream.wmv.
Note: this will not work with Flash-powered streams.