You can also drop a copy of yt-dlp or youtube-dl into Media Player Classic's root, and then if you Open the URL of the online media you want, you can then play it in the player and additionally Save A Copy to a file. It uses yt-dlp or youtube-dl to do that, basically acting as a front-end with playback.
(If you're maintaining an up-to-date copy of yt-dlp or youtube-dl somewhere else, I'd recommend using a Windows NTFS symbolic link reparse point dropped into the MPC root directory rather than an actual copy. That way if you update the original "copy" of it, the symbolic link ensures that MPC gets that updated version, too. You'll need to install Link Shell Extension or similar as an adjunct to Explorer.exe to enable the ability to create symbolic links, since Microsoft chose to keep that NTFS feature secret and out of the Explorer GUI.)