1. Download and install Audacity, the free recording software at:
http://audacity.sourceforge.net/ I've been using it for quite a while and it rules!
2. Audacity will record streaming audio. You need to change the settings to line in. It's very easy, the setting is right in front of you when you're running the screen - even I could figure it out.
3. Convert the Audacity-based recording to mp3 format.
4. Burn a CD (or transfer the songs to an mp3 player like the iPod) of the mp3-formatted recordings and you are good to go.