Whilst they play you can capture the sound using Audacity and Stereo Mix (XP has SM configured, for Win 7 you'll have to do this - Google search "configuring stereo mix windows 7"). Then you csn do a Save As ... MP3 (192 kbps is recommended).
Or you can simply download them by using Right-mouse-click / Save As ...
Or use Orbit which will download them, and which is restartable if the connection fails.