Saving audio files ?

I just subscribed to Orthodox.tv and I love it ! Thank you for providing this service .

I was wondering if it is possible to save audio files from Orthodox.tv to my hard drive so I can open up the files with my Windows Media Player without being connected to the internet ? (I only have a single phone line, so if I am online listening to sermons for an hour or two at a time it ties up the phone line for too long) .

Thanks.