The Gentoo folks have a great howto on ripping Windows Media Player streams (typically identified by an .asf, .asx or .wmv prefix) using mplayer.

Here's the gist of it:

 mplayer -noframedrop -playlist "<url>" -dumpstream -dumpfile <file>

For example, saving the third video on this Radio-Canada page (Espace video) for later viewing:

mplayer -noframedrop -dumpstream -dumpfile file.asf -playlist http://www.radio-canada.ca/Medianet/2008/CBFT/3600SecondesDextase200803011900_4.asx

which can then, of course, be converted to MPEG4 using mencoder:

mencoder -o file.avi -ovc lavc -lavcopts vbitrate=16000 -oac mp3lame file.asf