You can do this through Skype (or any other VOIP service). If they use custom devices/modems, you'd need to call into their API which may not always be easy because they may not release any documentation for it. In some cases it may violate the terms and conditions. So short answer is that this is device dependent.
For some example apps that can help with recording Skype calls, see:
http://skypetips.internetvisitation.org/articles/record_skype_calls.html[
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