How to download a URL as a file?
On Linux, use 'wget' on the command line:
wget http://podcast.cbc.ca/mp3/sundayeditionstream_20081125_9524.mp3
If you want a similar tool on Windows, you could install wget via Cygwin or use one of the GNU Win32 ports.
On Mac OS X, there's cURL, which appears to have a Windows build.
3. The command-line method
Download/install/build wget or similar and download from the commandline:
wget http://some/url
I use DownThemAll for this. You can just copy the link, open the manager window and select 'Add URL', assuming it doesn't pick the links up when run normally.