You know that what you are trying to do is illegal don't you? As there are a good number of people here who create content for public airing, I don't think this is the right place to ask. Unless of course you are looking to be flamed.

Why don't you check the site and see if they have the program available as a podcast?

Firstly, is this a copyrighted show, that someone ELSE owns? This may be the reason it is only available online. Will they let you purchase it for a small fee and download it? Or, are they only letting you listen to it?

If it's already online and available for listening, then your need to "Archive" it sounds a bit more personal. Someone else has already done the work for you. Can you live with that, or is this something you MUST have?

If that's the case, you can possibly reverse click on the file and select "save as" - just like a picture or text file anywhere else on the web. Depending on your browser, you may be able to choose "Play, Save, or Download". If that's not the case at this point in your search, perhaps it's deliberate by the people who have posted it. (Again, they may NOT want others to hear it.)

If all else fails, you may have a sound card that supports play/record (full duplex) operation. You'd be essentially playing the sound OUT of your sound card, and back INTO the sound cards REC jacks. Depending on your model, you might be able to do this with a patch cable.

You could always simply record it out of your computer to a CDr or even a lowly Cassette or VHS machine's audio input jacks (without the video). If it's low quality (and I suspect it is) like a radio broadcast in MPG format, you may never hear much of a difference anyway.

Of course, I'm not suggesting you violate any copyright laws, but if you're just putting something away for your own personal enjoyment and not selling it afterwards, I doubt you'd be in any serious trouble.