saving mp3 files

[DJ Egg]

It depends on what you mean by "programs".

eg. If they aren't copyright protected, then you can go to:
Prefs > Plugins > Input > MPEG Audio Decoder > config > Streaming tab:
Checkmark: "Save streams to"
and specify a folder to save them in.
(be sure to uncheck this option when not required).

If they're copyright-protected streams (like Shoutcast),
then yeah, see m²k's post... (or Rules > Streamrippers)