Hmm... this is a little tricky because they use streaming media, its not really a file you can download. The basic idea to record, is you have to stream it, and use video capture to record it. You can check the source of the web-page to find out what format the stream is in ie mms or asf or real player etc. Then you should be able to find some freeware on the Net to record *cough* asf *cough*

Then you can just burn as VCD (not sure) but definitely as data cd

hope it works

edit:
ask rev if its allowed to 'guide' you thru the process?