With Sound Leech you have to right click the icon which appears in bottom right of screen, set the folder where you want to save the wav file, then click Start Leeching (I think that's what it says - I'm on my work machine now) A folder is created called IE with some other characters, and you can watch the file size increase in real time.

I am using i-sound for Windows 7 at home, for which you have to pay. The password only seems to work on the PC from which payment is made - very crafty!