try installing a neat little program called orbit:
http://www.orbitdownloader.com/
once installed the program starts up with windows (i prefer to start the program as and when i need it though,so uncheck the start with windows box in the preferences).
when running and grab++ is chosen,it monitors a default set of file extensions as you surf (eg .mp3 or .jpeg).you can have it monitor as many or as few (by deleting any of the default ones) as you like.you can also add your own.it can also monitor streaming media (but not always – it depends on how the particular website works).
when listening to audio online,it will appear in the grab++ box.
check the box then choose download (it will donwload to a default folder,but you can choose your own).
gameswizard