In answer to both Scouse and John, I recommend using Jetaudio It will play real audio files without the constant nagging and spyware of Real Player and will also record a file as it downloads. You do have to go into the preferences and tell it what format to save the file as and set the length you want it to record. I record an hour or so worth of stuff, then transfer to Sound Forge and edit to my heart's content, just saving the parts I want.

You can also read a lot about it and download it at Download.com

It has been my primary player/recorder for over a year.