After selecting the radio show of your choice in the listen again player, right click the left hand pane in the player and select properties from the menu. Copy the address (URL) into the first text box as seen above. Into the second text box enter a file name whithout any file extentions as this will be taken care of for you.
After pressing the "grab" button you should be prompted to save a batch file. This file will have the gubbins needed to feed mplayer, saves fiddling around with stuff.
Save the file in your mplayer directory, otherwise the whole thing falls apart. Mplayer should be found at C:\mplayer.
Open the folder (C:\mplayer) and double click the newly created batch file. It will be identified with the preceeding characters "radio_". Double clicking that batch file will kick mplayer into action which will create a realtime WAV of the radio stream, then will use lame to encode an MP3.
Once the batch file is finished it will delete itself and the WAV file leaving only the MP3 file in C:\mplayer. You could move this file or transfer it to an MP3 player. As Mark Williams would say ..... "Good enit?"