Yes you can. I made a video for another poster a while back showing how to do it.
Before I can post the video here, I have to ask, is the audio you're trying to capture copyrighted? I don't want to get in trouble with the staff here!
If you're willing to spend a little money, you can do this a WHOLE LOT more simply and with more advanced features (such as scheduling) using Audio Hijack Pro ($32). Believe me, I think it's one of the best shareware investments I've ever made. There is also WireTap Pro, a bit more expensive but also excellent (more for "pros" though I think).
Simply with QuickTime on Mac, you can easily record the screen as you want. But if you are looking for anything more professional in recording streaming audio, you can go for some free audio recorders like Audacity, Ardour, etc. For more details, you are suggested to look at these top 5 free audio recorders.
If you need a good audio editor that can also record i recommend a Program called Amadeus Pro, lots of whistles and bells, not cheap but well worth it if you need what it offers. For just plain recording there is a small program called Piezo that will record from quite a few sources very easy to use and does a great job.
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