punk, you'll need about a gig of hard disk space, an audio recorder (not windows sound recorder as that has a cut off limit!!) and a cd writer and software for it (which i'm assuming you already have)

deffinatly download winamp though ( http://www.winamp.com ) as its more than likey they're using shoutcast.

infact, better still, get them to record it. its not much more effort for them as they have to stream it out in the 1st place