If you have a high speed connection, just click the play button and the file will load and start to play in 0-15 seconds, depending on your connection.

If you use dial-up, you may want to download the file before you listen to it. Just Right click (apple+click for macs) and select save file/target as. Once it has saved, (it will take anywhere from 5-15+ minutes) double click the file to listen.