There are many options for playing the audio files you've downloaded.
Windows and Mac users
1) Open the folder (do not rename the files)
2) Double-click the file you want to listen to
When you double-click an audio file in Windows, the Windows Media Player will usually launch. On Mac it would be iTunes.
However, you have many options for playing audio files (some free, some pay).
Here are some FREE audio players:
iTunes
WinAmp (Windows only)
Quicktime
VLC Media Player
More audio players may be found at tucows.com, download.com and versiontracker.com
In case you've missed it, download the audio files here.