Run a line from the headphone out on your stereo (radio) to the line-in on your sound card (you may need to pick up some cheap cables and adpators at Radio Shack or Best Buy). Use any audio recording program, even Windows Sound Recorder, to record the radio show (in .wav format). Use an audio editor (Sound Forge, etc.) to split the show into tracks, if you want. Burn to CD as is, which will give you 74 minutes per disc, or convert the .wavs to mp3s and you can fit something like ten hours worth on a CD. If it's just human speaking, you can rip the mp3s at 24 or 32k and get way more hours on a disc.
everything Numanoid has said is true - Talkin2Phil