How do you do it? and what programs can you use?

Every now and then I stumble across a website with a background song, or one of those media player bars where you can select a song. Is there a way to record a song from such a source?

I was thinking perhaps you could find a URL for the actual song file, then use a program to play the file located at the URL (Winamp can do that) and then a program could record it in to an MP3. But Tunebite can't seem to record from a URL and it needs to work through WMP, and I can't for the life of me (because I know nothing about HTML) find the URL of a song on a webpage's background or on a media player bar.

A good example of what I'm talking about is this site:
www.thedistillers.com

It's a band's website and at the bottom, they have this audio nav bar where you can play and forward or rewind through a list of songs.

Let me know what you think

You can use Audacity to record in "real-time". Play the song thru WMP/other & record at same time w/ audacity.

I am not sure if there is a way to download the file or not, but this is how I capture streaming media.

On the site you mention, they are MP3's, and since my download manager (Metaproducts Download express) has .MP3 in its list, it collects them for downlaoad, rather than playing... Must change this behaviour (turn off integration for), as it can be annoying at some sites, but it does mean I can snaffle pretty well any MP3 that would otherwise play.