How to save an audio stream?

Very good, I do not know if my question is well formulated, but I have an application in which I play an audio stored in my hosting, what I want is to save it, I have searched for everything and can not find a way to store it.

I have a listview that filled it with a remote database,

When I click on an item on my list send the next function to send the url where I have stored the music that plays

public void reproducir(String YT) {

    if (mp != null) {
        mp.stop();
    }
    try {
        data = Uri.parse(YT);
        mp = MediaPlayer.create(getApplicationContext(), data);
        mp.start();
        ActSeekBar.start();
        sb.setMax(0);
        try {
        } catch (Exception e) {
            sb.setMax(mp.getDuration());
        }
    }
    catch (Exception e) {

    }


}