Will mms: leave a local copy?

I listened to a wma audio file via an "mms:" connection. After having played the entire audio file, I checked my "local settings\temporary files" directory for a local copy. But there was none there. This is quite different from the "http:" situation where there is always a local copy of the sound track left.

Is it possible to get a local copy of the wma file through an "mms:" connection? Or the "mms:" is a completely different species?