If you open Volume Control (from the speaker icon in the tooltray) and go to Options > Properties and switch to Recording, you can choose which channel you record from on many soundcards - I select Wave Output Mixer on my laptop to allow recording any sound my machine makes
If it's streaming audio from the internet, Winamp might be able to do that for you if you play with either the output plugins or input plugins - the mpeg input plugin has an option in there to specifically record streams to the HD (at least in older Winamp versions)
