Depends if it's Windows format or Real format.
There was a recorder for Real media available on the net, but Real threatened to sue them and it was pulled. It's no longer available officially, and I can't possibly recommend that you use Google to search for sites that may still offer it. That would be bad.
For Windows media, try WMrecorder. Check it out at
http://www.wmrecorder.com/index.php
I'm sure there's plenty of alternatives out there.
Mr Mephisto