Windows mediaplayer WIth XP

Can some one please help. I have been researching this all over, and can’t find the solution.

The way the firewall is set up at my work, I am only able to listen to streaming music using windows mediaplayer that came with XP. (ver. 9 beta does not work). It looks like there is a way for media player to save the streaming music into MP3. However, I am having crazy difficulties figuring this out. Can some one help with information and links. I will really appreciate it. thanks.