...capture the music from that site?
There are so many excellent shows on there.

Vilhelm
Nordic Stones Vikings

Get a decent soundcard (like Creative Audigy) and then some recording software (such as Sony Soundforge).

Then while you listen to it you can record it as it plays over your soundcard. When it is finished you can cut your recording into seperate tracks and name them.

You can't capture the actual stream, he's protected it too well. You could also play it one one computor whilst recording it on another computor, cassette, whatever you've got.