http://streamripper.sourceforge.net/ Streamripper may be another possibility, depending on the particular format, and if the particular host has not been excluded - they were made to remove Live365 support, I believe.
Streamripper supports Shoutcast and similar streams (eg. Icecast) only
The 3 ways of handling streaming contant saving are...
BEST: Actual stream ripping, no re-encoding, the stream is slurped and saved to a file in its current format & bitrate.
SECOND BEST: Digital rip / re-encode, using something like "Total Recorder" to capture at the digital level.
CHEAP/FREE: Loopback using a recording program taking input from "Stereo mix", "What-U-Hear" or "Wave". While the second method incurs re-encoding losses, this method may also incur further losses in re-digitization.
The second method may also be possible using a "File recorder" plugin in something like Winamp, though it will not be able to do that for protected content.