What I showed above only relates to Podcasts - i.e. files saved as MP3s and left on the person's web site to be downloaded automatically. If it is a "Live stream" it isn't actually saved on the site and can only be listened to live.
The only way to save that type of file is to actually record it yourself as it is playing. This can be done using various programmes - a free one is Audacity - which will record a live stream and then allow you to save it to your computer.
Quack!
GtD.