These files are held on the Internet Archiv in two formats, MP3 and Ogg Vorbis. The latter is a smaller download but not all media applications will open it. Windows Media Player and several others can be set up to do so simply by downloading and installing the codec here. Alternatively, there is an extensive list of free and proprietry software for Windows, Mac, Linux and other operating systems here.
If you wish to download individual files rather than play them straight from the internet right-click and Save target as… (Internet Explorer) or Save Link As… (Firefox)