If you're trying to record streaming audio through Winamp, then you can use
Streamripper (Free)
Another way is to use your soundcard with a program like TotalRecorder, as mentioned, or another recording program.
You'll have to set your soundcards recording settings to record anything.
1. Double-click the speaker icon in your taskbar.
2. Click Options and choose Properties.
3. Select Recording and check mark all the options listed.
4. Click OK to bring up the Record Control interface.
5. Select Wave Balance (or mic, or line in, etc. if that is what you want recorded)
Now you would fire up your recording software, and click
Record once the audio that you want to record is playing.