First of all, the whole point of streaming media, is that there's no download necessary beforehand. Streaming media programs aren't designed to operate this way.

Secondly, there are copyright concerns to consider. Further, the people who run the site may not take too kindly to your actions.

For starters, I'd try to increase the buffer size for the player. Windows Media Player probably won't let you do this, but Real Player probably will. Try increasing it by 50% to see if that helps. Keep in mind, this may cause a delay in the time it takes for playback to start, but with luck, it'll make everything else run more smoothly.