You can use Mozilla Firefox web browser and free add-on called DOWNLOAD HELPER.
With that add-on you can download almost any media (audio and video) from almost any web site.Until THIS DAY I still did not encounter a media web site from which download helper was not able to do it's job perfectly! :good:
And yes it does work on Last.fm also.
Also download helper can automatically convert the downloaded file to other file type like MP3 or WMV (and a lot more) if you want.
However for downloaded file conversions I would definetely recommend FORMAT FACTORY.It is ALSO free and it can convert almost anything into anything: images,audio,video plus it has few more advanced features.
Of course you can always use the conversion from download helper,but format factory can convert a lot more.
So all you need is:
-Mozilla firefox web browser
-Mozilla firefox add-on called "Download helper"
-Format factory
Here are download links if you are interested:
Mozilla firefox web browser:
https://download.mozilla.org/?product=firefox-stub&os=win&lang=en-US
Mozilla firefox add-on "Download helper":
https://addons.mozilla.org/firefox/downloads/latest/3006/addon-3006-latest.xpi?src=dp-btn-primary
Format factory:
http://www.filehippo.com/download_format_factory/download/da5393aa1e4faa015900807c02d417d4/
So anyway...that is how I do things rather than recording it directly.
And also with Download helper you can download multiple medias at once instead of recording one by one.I used to download them up to 20 at once lol.

You can be downloading more than 20 at once if you want,but that depends on your internet connection speed.
