if I remember good there is "WMV recorder" which can do that. But I think it's only able to record streaming which opens in the windows media player.
So no .rm, ram, mov and so on... only WMV
I have this program called Streambox! VCR. I've used it a couple of times, but I can't really figure it out, and I don't know which formats it takes.. I can send it to you, because I don't know where I got it from.. Just PM me