If you're using a PC

Right-click the link to download the file. "Save target as..." and select where you want to save the file

Left-click the link above to play it immediately on your computer*

If your using a MAC

Option-click the link  to download the file into your Downloads folder

Control-click the link, choose Download Linked File As... and choose where you want to save the file

Click the link above to play it immediately on your computer*

*Note that in both cases your computer needs to be able to play MP3 files. You can download iTunes free for your Mac or PC.