If you click on the 'Download Now' links using the left hand button on your mouse, the audio file will usually play. If you are currently unable to listen to the MP3 audio files then Apple Quicktime provide free software to download.
To download the MP3 audio files to listen to later you will need to click on the 'Download Now' link using the button on the right hand side of your mouse. You should then see a list of options including either "Save Target As…" or "Save Link As…"..
If you would like to find out more about RSS feeds and podcasting then please see the links below.