In one of my previous blog post I am written about how to play a streaming url using mplayer.
Here I will explain you how to save the the content from streaming url to a file.
Even for saving the stream to a file we can use mplayer.
$ mplayer -nolirc <Streaming_URL> -dumpstream -dumpfile output.mp3
Above command will stream the content from any valid Streaming_URL and save it in output.mp3