Click on a link to listen (streaming audio). Or, right-click on a link and choose "Save target as..." to download. On mac: option-click.
If you would like the music to play back immediately as streaming audio you may first have to set a default application that can handle this kind of data stream on your computer. You only have to do this once. After that your computer will launch the right application automaticly each time. Also bare in mind that your internet connection must be fast enough to receive the data in time to play back live.
Windows Media Player is an application that can playback streaming audio on Windows. On mac you could use iTunes.