First of all we need to find play list link on the server. Look for a source on the web page (ctrl+u in Mozilla Firefox) and find something like: http://site.com/video.asf or it could be even .wmv, save it to your hard drive. Then open it with a notepad – inside you will find a link to a video which is being streamed, and we will use only this link.
Open VLC media player and click ctrl+s or Media → Streaming. In Network tab, choose protocol and paste your link from the notepad, click Next. Add a destination file, browse for a folder and make a file with any extension (you may rename later. In profile choose desired codec to be used to encode a video file (you should have this codec installed on your system).
Click Stream. I should say that the process of downloading a streaming video equals to the length of the video + connections times etc.