Audacity will record anything presented to it by the operating system.
You can jack the Headphone Out of a personal radio or the Stereo Line-Out of a larger radio or music system to your computer Stereo Line-In (usually blue) or in the case of a Windows Laptop, you may need to add a Stereo Line-In USB sound device similar to the Behringer UCA202.
http://www.kozco.com/tech/audacity/pix/peaveyUCA202Lenovo.jpg
I do that with radio shows in Los Angeles that either don’t stream or stream badly.
Please note that Mic-In (pink) on a Windows laptop is mono, not stereo and easily distorted and damaged.
Koz