I need sample code for RTSP connection to streaming audio

I would like to establish a connection to an Internet radio station transmitting in Windows Media format over RTSP.  I do not want to play the received sound, but convet it to MP3 and save it to disk.

This is URGENT project.  I would most welcome any input, links to code or commercial controls.

Who is Participating?
Hm, don't know all that from the top of my head, but you will find a good introduction (incl. links to more resources) at http://en.wikipedia.org/wiki/Real_Time_Streaming_Protocol
Check out http://sourceforge.net/projects/simplertsp/

'MPlayer' (http://www.mplayerhq.hu/design7/dload.html) would be a more complex example.
yossikallyAuthor Commented:
This depth of information is too overwhelimng at this point.  I want first to "tell the forest from the trees" What I would like to know at this point:
1)The Radio station I am trying to receive has the URL "http://gifs.msn.co.il/media/glz.asx" This implies http protocol.  Yet after som negotiation the transmision becomes RTSP (TCP) as indicated in the 'Statistics' of the wmplayer.  What is the sequence of events from the first http packet until steady state of data trnsmission?
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