I know lots of guys here have this. I got a question how do I save something to my copmuter thats playing?

you mean a stream?
you can get a plug in called stream ripper for winamp

No not something that is streaming. Just something that im playing

go to the site that you are downloading it off and the text or icon that you click on when your arrow turns into a finger. right click it instead of left click and it should say something like "save as" "save file as" "save target as"