Yup. It's possible. Most people don't know about it. There are currently two programs I know about: ASFRecorder and StreamBox VCR. ASFRecorder site is somewhere on xoom, go search for it. StreamBox VCR is considered Vaporware, but trust me, it exists. It's simply been on beta for a loonnggg time. There has been a problem with it "calling home" back to the streambox server before letting you download anything. The cracked version which fixes this problem is floating around the net, mostly on those l33t warez places.
ASFRecorder is used only for MMS servers, Windows Media stuff. (ASF, WMA)
Streambox can also be used for RSTP and PNM servers, Real Media stuff.
Enjoy.