I have "Creative SoundBlaster" as the software for my soundcard (came with the computer). One of the programs bundled with it is simply called "recorder". When I use it, I just get a small little "box-like" window that allows me to play, record, etc. When recording, I have the option of recording from a .wav file or microphone or something called "what u hear". I chose the "what u hear" mode.
I then simply played the Windows Media File (from the link provided in this thread). As soon as the song began to play in the Windows Media Player, I hit record. "What I heard" was the song from the Media Player - and this is what was recorded (hence the name of the option - "what u hear"). The recorder allows for longer recordings (I haven't come across a time limit yet), so I was able to record the entire song. When the song was done playing in the Media Player, I just hit "stop" to end the recording.
That gave me a 43 MB .wav file format of the song, which was stored in a folder on my hard drive. Then, as I wrote above, I used the program "mp3 Maker" to convert the .wav file to .mp3 format. I bought "mp3 Maker", but again, as I wrote, I'm sure there are many out programs out there like this that you can download for free (shareware, etc.).
It's possible that you might have different software for your soundcard, which doesn't give you this recorder option. Or, as someone else wrote, the recorder only goes for 60 seconds or so. However, if you have Creative SoundBlaster, then you should have this additional "recorder" program.
I only made it a 128 kbps .mp3 for space considerations (instead of 192 kbps). If there are any "hiccups" in the song - this is how I heard it from the Windows Media Player.
Hope that helps!