To download it - simply right click here and select 'Save Target as' (Internet
Explorer), or Save link as (Monzilla).
Once downloaded simply play with your favourite media player (Such as Windows
Media Player, Itunes, Quicktime).
Under most cases, this just means you need to double click the downloaded file.
(Note: If you simply left click the file, you will play it from the website.
While this may work, your mileage will vary because it is dependent on your
internet connection to provide the audio data quicker than it is being played.)