Using the Windows Media Player plugin
The PimpFish Media Grabber is a plugin for Windows Media Player 9 and later, that helps you to grab media files that are playing in the Media Player.
The PimpFish Media Grabber shows the currently-playing media file. If the file is being played from an HTTP URL (or basically, anything that is not a stream), then you can click the Grab It! button to add that URL to your download list. Remember, this feature can't grab streaming media, whose URLs typically start with mms:// or end in .asx.
To enable or disable this plugin, run Windows Media Player and click Tools, point to Plug-ins, and click PimpFish Media Grabber.