I'm fairly sure it's possible with the paid-for version of RealPlayer. A cheaper solution is to set your sound card recording settings to "Wave Out" so that it records anything output by your speakers. This varies from sound card to sound card and also depends on how good the drivers are. If you post a little about your system, I'm sure someone will be able to help further.
If you are looking to put decent quality radio recordings on to CD have you considered a digital radio for your PC such as Psion's Wavefinder (very cool USB device- I've got one) or Modulartech's WinDAB PCI card? They allow you to record straight to MP3 and the quality is good. Look at click here to check coverage in your area. Wavefinders are around £70 and WinDAB £100.