Saving Media Files 
 
Pictures
Pictures are easily saved by clicking on the pic with the right mouse button and selecting 'Save Picture As...'.  If the browser you're using doesn't have that option, look for a 'Save Target As..." or something similar.
Very occasionally you might run into a situation where they're using a method to keep the pictures from being saved, but that's easily circumnavigated by doing the following.  These instructions are for the free MS Paint program included with Windows.  If you have something better, like Photoshop, you'll know what to do after you get the pic loaded.
  • Hit the 'Print Scrn' key on your keyboard to save a 'snapshot' of the entire screen to memory.

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  • Open Start Menu, Programs, Accessories, 'Paint'.  Open the program to full-screen size if it's not.

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  • Edit Menu, 'Paste', to paste the image from memory into the blank picture.

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  • If you want to resize it to a specific size, use the Image Menu/Attributes function.  If you just want to downsize it by half or whatever, use the 'Stretch/Skew' feature and put the same percentage in both top boxes.

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  • If you want to crop out a section, it depends how what format you want the cropped pic to be saved in.  If BMP is okay, click the little square box at the top-right of the tool bar, highlight the section you want, then select 'Copy To' from the Edit Menu.  This will save the highlighted section to a new file, but the only format available is BMP.

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    Assuming you want to save it in JPEG format, first highlight the area, then select 'Copy' from the Edit Menu, then select 'New' from the File Menu, clicking 'No' in the requester box unless you want to save the work in progress so far.  From the Edit Menu select 'Paste' and the cropped area will be pasted into the new page.  If there's too much background area, grab the little gadget at the far bottom-right corner of the background and d-r-a-g it up to the upper-left corner of the picture. 
       
  • When it's time to save the pic, go to File Menu, 'Save As...'.  Select "JPEG" from the little drop-down menu and then save the picture.
Tip:  If what you want to screen-grab is smaller than the screen, like a small box that's popped up, hold the Alt key down while hitting the 'Print Scrn' key.  That'll paste just the smaller window into your paint program.  
   
Songs & Video Clips 
For sites like this one where the streaming files are a semi-direct download, compared to a site like YouTube which uses a big programming routine, the files are saved using an easy method in Internet Explorer.  I presume other browsers have a similar routine.  For sites like YouTube, see below.
It's a 3-step process:  
1.  Clean out the Temporary Internet Files folder, just to get a clean slate to work with 
2.  Play the song or video  
3.  Re-open the Temporary Internet Files folder and copy the file to a normal folder 
When you're ready to save the media clip, go to the Tools Menu in Internet Explorer and open 'Internet Options'.  Click on the 'Delete Files' button (the process might take a while if you've never done this before), then 'OK' to close the box. 
Go to the page where the media clip is and play it. 
Open 'Internet Options' again.  Click on the 'Settings' button, then the 'View Files' button.  If you're using Internet Explorer v7, they mixed things around a bit (as I recall — I only used it for about 15 minutes), but it's there somewhere.
On the top-right of the window, click in the 'Size' box twice in order to bring the largest files to the top.  Your file will most likely be the biggest one. 
Highlight it with the right mouse button and select 'Copy'.  Open a normal folder and select 'Paste'.  (The Temporary Internet Files folder is kind of weird so it's best to paste them to a normal folder before playing, etc.)  What you've saved is identical to the one that played on the site.  Videos will usually be in WMV format, audio tracks usually in WMA or MP3.
Note:  Browsers are kind of weird with their temporary files and it's possible the file might be missing its file extension.  Just slap a ".wmv" or ".wma" (video or audio) on it and see what happens.
 
Other Sites — Video
Update:  There is, unfortunately, a new genre of streaming media out there that only puts the streaming clip into memory, not temporarily on the hard drive, so there's no way to make a copy outside of buying an expensive video capture card and literally capturing it in real-time.  I've got my ear to the ground looking for some kind of program designed to peek into memory and snag such files, and will obviously keep this page updated if/when I discover anything.
 
This same routine can be used to grab things like YouTube videos, although the process is a tad more involved because they're usually in FLV format and have to be converted to something more common, like AVI, to play on a standard computer using Media Player as its movie player.  Here's a converter you can try, although it doesn't always work correctly.  You can also install Media Player Classic, which will play FLV files.  Setup details are below in the Audio section.
Again, it's to note that the file in Temporary Internet Files might not have a file extension on it, so you'll have to add the ".flv" yourself after you copy it to a normal folder, then convert it.
If there's no file in Temporary Internet Files, then it's hopefully in the Temp folder.  There are a number of 'Temp' folders in Windows, so unless you know where your (official) one is, do the following to find it: 
  • Click on 'My Computer' with the right mouse button, open 'Properties'
  • Click on the 'Advanced' tab
  • Click on the 'Environment Variables' button
  • The path to your (current official) 'Temp' folder is in the top box
Open the Temp folder, delete everything. (some things might be "in use" and won't let you delete them)  Reload the page with the video clip on it.  You should see the file being created in the Temp folder.  The thing is, what often happens is that you can't copy it while the web page is up, because the file's "in use", but as soon as you close the web page, it's deleted since it's just a temporary file.  After the video's finished playing, go ahead and try to save it, first by making a copy of it, and, if it's "in use", closing down the browser and seeing if the file is deleted or not.  If it's still there, it won't be "in use" anymore and you'll be able to copy it.
If it disappears when the browser's closed (or sent to another page), the trick is to have the web page up, the file in the Temp folder, then reach over and hit the power button to the computer.  (Make sure you don't have anything else currently being edited in the background, of course)
When the system reboots, open the Temp folder and the file should be there.
If for some reason the above processes aren't working, you can try one of the online conversion sites, like ConvertDirect or Vixy.  The quality isn't going to be as good as doing it yourself, but, for most of the crap on the web, it probably doesn't make much difference.
 
Other Sites — Audio 
If a song's playing in the background when you arrive at a site, it'll be there in your Temporary Internet Files folder when it's finished downloading.  If it's an MP3 or WMA file, do a Copy & Paste and that's it.
If it's embedded in a Flash page, then it'll probably be an SWF file, and that presents a problem.  I can't find a free SWF-to-MP3 converter out there, so the best I can suggest at the moment is to install Media Player Classic and associate it with SWF files.  It's a movie player, but it'll play the audio portion of SWF files just fine.  It's also a terrific movie player and is my movie player of choice for short clips.  For full-blown movies, I use PowerDVD.
Here's the setup procedure:
  • Install Media Player Classic.  It's a 'standalone' program, no install necessary, just unzip the file and move the folder to its permanent location.  Assuming you want an icon for the Start Menu, grab the EXE and d-r-a-g it over to the Start Menu and drop it in.

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  • Run program, View Menu, 'Options'.  Click on 'Formats' over to the left, then associate MPlayer Classic with whatever you wish.  I associate it with FLIC (.FLV), Matroska (.MKV), MPEG (.MPG), Ogg Media (.OGG), Shockwave (.SWF), Video file (.AVI) and Windows Media (.WMV).

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    It's to note that this associates Media Player Classic with these file types, so it'll play the clips if the icons are double-clicked, but Windows Media Player will still play online stuff.
Double-click on one of your newly-associated files to test it out.  If for some reason it doesn't play, click on the file's icon with the right mouse button, open 'Properties', then 'Change', then 'Browse', then browse to the MPlayer Classic EXE file.