Check the playlist in Windows Media Player (Properties of the file)
You should have the link ending in .wax
Use a download app, ie:getright or a freeware one. Paste the url in the "download this" area, but change the .wax to wma, and once you've downloaded the file, you can use file conversion apps to do what you like with it.
The wma, or media, has to be stored somewhere, and usully it is on the same server, and is being called up from there.