I'm not sure. I've been able to save some shockwave flash files that way. And there's something called asfrecorder, but that's for Windows media files. Seems like I heard of a similar recorder for realmedia. If I can recall the name of the program I'll edit this message. If your mainly interested in saving the audio, there's a program called vsound that will record whatever is passing through your soundcard, so it can record anything.
http://www.xenoclast.org/vsound/But it's only for Linux, and similar unices, but there is certainly a windows or mac equivalent out there, if you're using one of those. Sorry I can't be of more help, but I'll try to think of that realmedia recorder (if it's not a figment of my imagination, that is).
on edit: I think the program I was thinking was called Streambox VCR. I've never used this program, so I can't vouch for it, but here's a link I found, if you want to check it out:
http://www.afterdawn.com/software/video_software/video_capture_tools/streambox_vcr_suite.cfm