Downloading Media Player videos

Hi there, my name is nitesh. I face the following issue:

In webpages like the " http://www.skai.gr/master_searchresults_avod.php?allwords=%E5%EB%EB%E7%ED%EF%F6%F1%E5%ED%E5%E9%E1&numrows=10&offset=0&category=43343&pagewindow=10 " I can click on one of the links called as "Ελληνοφρενεια" and listen to some Greek radio shows, not live, meaning listen to old ones. By pressing on one of the links a new page comes up where the radio show is being loaded in a media player program.
My question now is IF and HOW I will be able to download such media player files that are broadcasted through the webpage itself to my computer so I can listen to them whenever I want.

I just want to make clear that I can listen to these shows on the internet, I would just like to have them downloaded on my computer so that I can transfer them to my ipod, mp3 etc to listen to them later.

Thank you in advance for your help and support. If possible, please reply in nitesh.iyogi.ca@gmail.com

Regards,

nitesh

source:http://technet.microsoft.com