You're really asking two questions here. The first is how to get the URL of the stream you want to listen to/record. In the pop up Java window that opens when you click on 'listen now' (or words to that effect), right-click in the part of the window that looks like a player. (You can't right click on what looks like an add for example.) In the right click menu select 'properties' and you'll see the URL you need under 'Location". For the Capital stream you'll get
http://mediaweb.musicradio.com/playlist.asx?streamid=1Note: I get these URLs in Opera. I don't know if this method will work in Firefox or IE.
The second question is about getting MC to record the stream. Take that URL and go to MC. Under File choose 'Open URL'. When MC is playing the stream, choose Tools>>Advanced Tools>>Record Sound and you should be all set. The Recorder window will open and you can set your options there.
Alternatively, you can schedule MC to record the stream. In the left tree go to Services and Plugins and select Scheduler. Just add a task, enter a name and the URL, set the duration and recording frequency and away you go. The stream will be saved to the location set in MC's options (Tools>>Options>>File Location>>Output File Location).
Sadly there's no real easy way to do these streams. These stations really want you to NOT record but you can work around their hurdles. Now if you lauch a Shoutcast stream from within MC, you'll be asked if you want to record the stream in a little window. I wish everything was that easy...