I don't know of anything free, but there are zillions of them out there that can do it. I know Snag-It does that sort of thing, but it's $49.00 or something. I haven't looked into it in awhile.
Camstudio is freeware and can record all screen activity along with audio. Video quality is great and audio is decent.
You will want to check ahead of time to see if recording the stream violates the terms of service on the site streaming the video. Same applies to pay-per-view streams.