One option is to use Audacity, you can record from any streaming audio (any internet radio stations) and save as WAV files to your hard disc for burning to CD.
- Winamp also has a large number of Radio stations - all you need do with Audacity is choose the Source as "stereo Mix" , press record and its saved to your hard disc. http://audacity.sourceforge.net/
Dont bother most radio stations either break in at begining or end of track with verbals or if continuous stream they cut the tracks short normally with ads.Far better to download bittorrent client and you can choose your own stuff from various torrent sites but be aware this is still illeagal but what the hell!!