You could try Windows Media Encoder 9, I think it would do the trick. Just play the stream and you can select your sound card as the input in Media Encoder and then encode it to a .wma or re-broadcast it, or send it to another streaming server to be broadcasted. You can download it here: http://www.microsoft.com/windows/windowsmedia/9series/encoder/default.aspx
I've been doing a ton with streaming media lately. It's all some pretty neat stuff.
Yes, you can still play radio stations on it. It has a new more customizable UI now - the radio link has been moved into the guide tab. You then click on radio, and a new page comes up. On that page (top right) is a hard to find link to the radio guide, that takes you thru to the old style menu for adding radio channels.