I haven’t tried this before, but I think I have it figured out. In the interest of preserving and sharing what I’ve learned, here are the steps I used to save an Ogg-Vorbis audio file from an “.asx” listen-now type of stream link:
Right click on the “listen now” link. Select “copy link location” or similar.
Open the media menu, select “Convert/Save”
Select the “network” tab, and paste the copied link into the network url field.
Click the Convert button at the bottom of the window.
In the “Convert” dialog box that pops up, type in the name of the file you will be creating, including the standard file ending, such as .mp3, or .wav, or .ogg.
Select the appropriate profile in the settings section, depending on the type of audio you want. If you want to hear it as it downloads, check the box that says “Display the output.”
Click the start button, and you should see the stream buffer up a bit, and you’ll hear it play (if you checked that option), or you’ll see the progress indicator advancing on the VLC player.