If you're using a Mac, you need to get hold of of prgram call Wiretap from http://www.ambrosiasw.com/ . This works perfectly with OS 10.3 and will record any sound being played on your Mac as an AIFF file, which you can then convert to any format you like - I prefer Amadeus from http://www.HairerSoft.com - and enjoy at your leisure.
It's not strictly legal to do this, but I won't tell anyone if you don't.
Good luck, and if you have any problems, PM me.