Illegal... but when you want songs that are streamed via web
servers and you want to download them, that's what you have to do.

First, you will need some snoopers. It's called URL Snooper.
Available
here.
Unzip it, install it. If you don't have WinPcap installed, please
also install it. It's a must for stealing to work. Download
WinPcap
When the installation is done, don't start URL Snooper. Restart
your computer.
After you restart your PC, open URL Snooper. Select the General
Options tab. Locate your network adapter and click on Search.
Click Sniff Network. Go to some websites, you should see something.
If you don't, your network card is wrong. Select another card
again. If you see some results, click the "Hide Non-Streaming URLs"
option to hide all http:// references and only show URLs
corresponding to streaming audio/video (rtsp, pnm, wma, etc). Click
Sniff Network again.
The links should appear, just copy in the address bar, and press
Enter. Your download will start. 
If it doesn't download, get Net Transport. Install
it, click on New and paste the link in.
Have fun! 