Depends on what the stream is. I don't think FF or IE does it, but Opera will save a .flv or .swf file to the cache folder of whatever you are watching. You can take that file and convert it to something else.
I think FF probably also has some addons to do it but I've never used one. Google SUPER and it will come up with a great converting program, but you have to have 20Gb free on your C drive. I think Nero would probably convert it for you too, but I'm not sure.