One other important piece of information is relative to streaming servers. In particular how addressing files on them is done. This is quite complex, but in general you can say that if the media file is prefixed by
http:// or nothing in particular, then we are not dealing with a streaming server as such. The media file will be downloadable from that address by some means. For instance you copy the full address of the file name and paste it in the browser's address bar and you can access the media file directly. Then you usually can save it to your hard disk from the options available in your player.
If you see something less common like
mms:// in front of a file name, then you are dealing with a streaming server and most likely you cannot save the media file directly to disk. In that case you will have to use dMC Auxiliary Input to play the meta file and capture the audio (best to capture to .wav), before you convert to anything.