If you can get the url for the stream then "wget" will download it
wget
http://www.website/stream.wmv
rtsp:/ mms:/ pmn:/ are not supported by wget though
Mplayer will also dump it's stream to a file
mplayer -dumpstream -dumpfile abc.wmv mms://website/filename.wmv:80
Look at the man pges for wget and mplayer
man wget
man mplayer