Don't know about the legal situation in your country, but here in Germany it's legal to record the music broadcasted by radio stations (private copy).
There are lots of programs available you can use for this purpose. I normally use audacity because I prefer a lossless recording in order not to further diminish the sound quality. The side effect is, unfortunately, that this method blows up the volume of the recorded files to a completely ridicolous amount of data. In this case it's more than 2 GB of data, which is absurd because the recorded file is probably an MP3 at 128 kbps with about 120 MB. But anyway, hard drive storage space is cheap these days and it's certainly worth it.
