I use a program called
Streamripper32, which allows you to rip from certain streams as long as you have the address. For example, I normally use this address for a trance station:
http://ny.ets-global.org:8000
It's important to have the port number (usually something like 8000) to rip the stream, but you can listen to it as soon as it's started thru Winamp, and you can save it to your PC too
!