If mplayer won't play it then you need to install/update your codecs. Mplayer will have to be able to play it before it'll dump or mencoder will be able to encode the media. Once you have the current codecs working then mplayer will play it.
mplayer http://www.blah/blah/media.wmv -dumpstreram -dumpfile outputfile.wmv
Another option if you want to use VLC would be to use ffmpeg to capture the output of your sound card.
This example uses oss and makes a .mp3 file.
ffmpeg -f oss -i /dev/dsp0.0 -vn -acodec libmp3lame -ab 128k capture.mp3
This uses alsa
ffmpeg -f alsa -i hw:0,0 -vn -acodec libmp3lame -ab 128k capture.mp3
Mplayer will dump any stream to file that it can play.
I am trying to record a WMV/WMA stream, and mplayer doesn't even play it
Or do you mean that you can't find the actual location of the media file? If so then look at rtmpdump, curl, wget