well, first off, if you're using something that's streaming off the web and that's the only access you have to it, that tells me you don't own the video. You need to be careful about using that footage, as it could lead you to trouble legally.
Second, there's really no easy way to capture streaming video anymore (at least not legally) for that very fact. Content distributors and providers realized people were "stealing" their content by capturing the video (this is a whole other discussion), and so they had most of the software makers take their products off the web.
If you're dead set on doing this, you can do a google search to see if you can find some software. For legal reasons, I won't condone doing this.