No, steaming media was designed in a way that you can't just download
it. (AFAIK) 

But if it's audio, you can use vsound.
http://www.zip.com.au/~erikd/vsound/

On Tue, 01 Oct 2002, rpgoldman at real-time.com wrote:

> 
> I'm dying to watch some of these new MIT courses on the web, but the
> lectures are in streaming real player, and the streamer just craps out
> in the middle all the time, then I get to start over. 
> 
> Is there any way to just sit there and let them stream the stuff at
> me, until it's all downloaded, then play it back at my leisure?
> 
> Thanks,
> R
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Clay Fandre				email: clay at fandre.com
Linux junkie...				PGP Key ID: 0x50DBBB60