Here are the steps
1)File>Open Network Stream
2) click on http/https/ftp/mms and enter the broadcast address(URL)
3)Then on the "advanced Options" below , check the box next to it and click "Settings"
4)Check "Play Locally" and "File"
5) Click "Browse" next to "file" and enter a file name (without any extension)
6)Change the encapsulation method to asf
7)Click OK and Ok.......
You are done. the player will play the saved broadcast so u will be making just 1 connection to server( in case u or the server are bandwidth starved)
this is method which i have found myself and works in most cases( including the AKJ.org broadcasts which are in asf format and Waheguroo Network broadcasts which are in nsv format ). Streamripper and Wm recorder are other options.