I've used the cli mplayer with the -dumpstream option to save realmedia streams, and I've used mssclient (comes with ASFRecorderX) to save mss:// type streams... but I've never tried saving a live stream. In any case, first you need to find out what format it uses and try to find software for it.
Stream recording isn't such a usual thing that there are "all-in-one" solutions for OS X, afaik.