VCR's for Streaming
SDP
SDP 2.0 (Streaming Download Project) is freeware that allows downloading of Windows Media files. The authors--a nonprofit group whose stated purpose is simply to fully document the MMS protocol--ask only for voluntary donations if you enjoy the fruits of their project.
It's pretty simple to use; as with StreamDown, you enter the URL to an ASX file, and it connects to the streaming server and downloads the file to your computer. SDP works primarily using the mms protocol. Although some support for http downloading is claimed, I was unable to make http streaming URLs work, with or without ASX files. Microsoft's version of rtsp is not supported, although support is promised in a future version.
SDP includes a few unique (and handy) features. The "VCR" feature lets you schedule a download for a certain date and time. A "Preview" button lets you view or listen to the program as it downloads. And the "Info" window provides complete details about the media file itself--codecs, data rate, network characteristics, and more.
Conclusion
If you only need Windows Media files over mms protocol, SDP is a good choice. Streamdown, on the other hand, handles multiple downloads more easily, and deals with a variety of protocols and media file formats. Although neither product will win an award for feeling very polished, both work reasonably well and get the job done.