it can be done with some application comes with windows, or other external program. but it's impossible to keep it as mp3 format while you listening, wav format -> mp3 format is the way.
open control panel, see what chanel or output is being used with internet stream, Most of time... "flash movies " for example, using wave output channel , select 'post mix' as your recording preference. open program file that you wish to use for recording. .. this is the way.