I wouldn't be surprised if, in the fine print, what you want to do violates an agreement you made with them when you signed up. I'm sure you wouldn't want to do anything wrong so I'd double-check, if I was you, and maybe see if they offer the sessions on disc.
Yeah, before you begin to record an internet audio, you should make sure that you don't violate any agreements or laws. After that, you can learn to <a href="http://www.recordstreamingaudio.org/record-audio-from-websites.html">record audio from websites</a> or internet simply by reading tutorils. If you can buy or get the disk of sessions for reference, it is convenient.
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How do I record an internet audio