Windows Media Player: Windows 7-how to copy audio?

I have Windows 7. One of the sites that I visit has a bunch of audio sermons that I can download free of charge. I say download, I mean listen to. They are perfectly cool with free distribution, but it isn’t set to click and download, it is, apparently, streaming. So, I tried to do the ‘save target as’ thing, and just got the link. Anyway, the sermons apparently do download into Windows media Player, but, I can’t find a way to copy them from WMP without doing a real time recording of them. Am I missing something, or is this the only way to do it?

Thanks,
handsomeharry

If your sound hardware will support it, you can use Audacity to record “What U hear” and save it to disk.

Right-click on the saved link and select properties, then try to download and save the target URL/file.