How can I download a broadcast of Prairie Home Companion's Joke Show from Realplayer?

I’m listening to a Joke Show from Prairie Home Companion from Realplayer, and I tried to download the show so that I could listen to it later, and when I try to “Copy To”, it says that there is a “Conversion Error: Convert only works from a local file”.

Is there a way to get around this to download it? I’ve heard about downloading it by going around the rules on Safari, using some sort of script, but I don’t know how to.