Uncle Jaque - if you have Audacity then recording off the radio should be very straighforward. I didn't realise you could do it till I read this thread but it goes a bit like this -

To record from radio stream

1 Find the channel you want recording
2 Open Audacity
3 Choose Mono mix in the box in the middle of the screen (may be on Line In by default)
4 Press the record button
5 That's it

To save them as wav files

Click on File and Export as WAV

To save as mp3 files

First download the encoder and save it on your machine somewhere as they recommend (instructions here). Then when you click on file you can Export as MP3

To burn your saved wav files to a cd

If you have XP then I'm sure you will have Windows Media Player. In Internet Explorer open the folder where you have saved the wav files. Select the ones you want to burn to a cd and either right click and 'Add to Burn list' if it's there (I think it's a version thing) or 'Open with' and choose Windows Media player. Once you have them open in WMP then you have an option to Copy to a CD or to Burn.

That's about it.

Thanks to Mongrel who pointed out you could use Audacity - I didn't realise until today.