It doesn't work for the links above, and rarely works at all these days. You're probably better off with a program like the one Ivan suggested if your connection will get you through the whole show.

Save the target of the link (In IE Windows, right-click on it and click "Save Target As" Choose a handy destination like your desktop.

If the file you saved has the extension ".ram" open that file in a text editor (like Notepad).

You'll see one or more URLs listed there. Copy the URL from the .ram file and make a link (blue clicky) out of it in a new text editor (Notepad) window. Save this file with the extension .html to your desktop. For example, you could call it test.html.

Open that html file, then save the target of the link you made (In IE Windows, right-click on it and click "Save Target As").

In the rare case where this will work, it will start to save the large .rm file.

Jeff