Or if you dont have a soundblaster card, go to your volume controll, go to options | Properties, then select ajust volume for recording and in the bottom box have a look for an option called "wave out mix" now click ok and check the box under wave out mix. Its the same thig as what you hear on the SB cards.
Although I think winamp has a wave output plugin that might be able to record the winamp radio, but ive only ever used it to convert mp3. to wav. dont know about the radio?