Your browser may or may not support playing these directly in the browser.
Most computers have some kind of audio player, so instead you can download a file
and listen to it with your favorite player ( I always reccomend VLC  from http://www.videolan.org/ since it plays almost all audio and video on just about any computer)

typically, if you want to save a file on your local computer (download), just right click on the link and you should get some menu item like "save link as" (Firefox) or "save file as" or some such thing. The file should be downloaded to some folder and you should then locate it and use your player to play it.