I have used this for video, and the support website says it works for audio:
WM Downloader - Capture mms/wm-rtsp/http stream from online radio stations and saving it to hd. I only used it a few times, worked great. I believe its an eval version so it gingerbee's solution works and is free then use his. If it does not work for ya give wm downloader a shot.
Your place of work deliberately blocks radio broadcasts? I have used Ultrasurf and Gpass to circumvent proxies at work, and they have worked fine for streaming media (I had permission to bypass the proxy, btw). I found Gpass to work a little better for media.