Recording internet radio programs....

There's a program called Total Recorder that works real well. You can get it at www.highcriteria.com . It writes whatever is going to your sound card as a WAV file. The standard edition is about $12. There's one with more bells and whistles too. There's a free evaluation copy you can try but it only records for a short time.

It does save the audio stream as a single WAV file. To break the WAV into seperate tracks, get CDWave which is a free download. A good place for info on that is www.etree.org

I have no affiliation with them other than being a customer.

Phase-
Can't tell you how to record onto your computer HD directly from the internet, but I can tell you what I do. I go USB digi-out (via a roland/edirol usb device) onto a DAT or CDR. Maybe not the easiest way, but it works for me.