the player just comes up as a html page for me so I dont know what's going on. Though if its just a page 'view source' and look for the link to the music file.
flashget is a download manager that would let you browse through the site's directories, and if it is organised enough, you might be able to find the files..
Well, I found FlashGet very helpful for capturing video streams (mms: stuff). I've tinkered with this site, and nothing seems to work for me to be honest. Good luck!