Solved using FFmpeg and FFserver. Note FFserver only works on Linux. The solution uses python code from here as suggested by Ryan.

Flow is as follows -

• Start FFserver background process using the desired configuration (mjpeg in this case).
• FFmpeg input is the mmst stream, output stream to localhost.
• Run python script to open the localhost stream and decode frame by frame.

Run FFserver

ffserver -d -f /etc/ffserver.conf

On a second terminal run FFmpeg

ffmpeg -i mmst://194.90.203.111/cam2 http://localhost:8090/cam2.ffm

The Python code. In this case, the code will open a window with the video stream.

import cv2, platform
import numpy as np
import urllib
import os

cam2 = "http://localhost:8090/cam2.mjpeg"

stream=urllib.urlopen(cam2)
bytes=''
while True:
    # to read mjpeg frame -
    bytes+=stream.read(1024)
    a = bytes.find('\xff\xd8')
    b = bytes.find('\xff\xd9')
    if a!=-1 and b!=-1:
        jpg = bytes[a:b+2]
        bytes= bytes[b+2:]
    frame = cv2.imdecode(np.fromstring(jpg, dtype=np.uint8),cv2.CV_LOAD_IMAGE_COLOR)
    # we now have frame stored in frame.

    cv2.imshow('cam2',frame)

    # Press 'q' to quit 
    if cv2.waitKey(1) & 0xFF == ord('q'):
        break

cv2.destroyAllWindows()

ffserver.config -

Port 8090
BindAddress 0.0.0.0
MaxClients 10
MaxBandWidth 50000
CustomLog -
#NoDaemon

<Feed cam2.ffm>
    File /tmp/cam2.ffm
    FileMaxSize 1G
    ACL allow 127.0.0.1
    ACL allow localhost
</Feed>
<Stream cam2.mjpeg>
    Feed cam2.ffm
    Format mpjpeg
    VideoFrameRate 25
    VideoBitRate 10240
    VideoBufferSize 20480
    VideoSize 320x240
    VideoQMin 3
    VideoQMax 31
    NoAudio
    Strict -1
</Stream>
<Stream stat.html>
    Format status
    # Only allow local people to get the status
    ACL allow localhost
    ACL allow 192.168.0.0 192.168.255.255
</Stream>
<Redirect index.html>
    URL http://www.ffmpeg.org/
</Redirect>

Note that this ffserver.config needs more fine tuning, but they work rather well and produce a frame very close to source with only a little frame freeze.

You can simply save the grabbed frames into images:

camera = cv2.VideoCapture(0)
i = 0
while True:
   f,img = camera.read()
   cv2.imshow("webcam",img)
   if (cv2.waitKey(5) != -1):
       break
   cv2.imwrite('{0:05d}.jpg'.format(i),img)
   i += 1

or to a video like this:

camera = cv2.VideoCapture(0)
video  = cv2.VideoWriter('video.avi', -1, 25, (640, 480));
while True:
   f,img = camera.read()
   video.write(img)
   cv2.imshow("webcam",img)
   if (cv2.waitKey(5) != -1):
       break
video.release()    

When creating VideoWriter object, you need to provide several parameters that you can extract from the input stream. A tutorial can be found here.