I think this program may do what you’re asking…Download Studio.
http://www.conceiva.com/products/downloadstudio/default.asp
I use it sometimes to capture streaming video files that can’t be downloaded directly. I also use this as my general download manager since it’s pretty rock solid. It’s not free but there is free trial for you to determine if it fits your needs.
The only other software I know (and have used successfully before) is NetTransport. It’s not free either and works well. I used it before to capture streaming internet audio. Free trial as well.
http://www.xi-soft.com/default.htm