How to Download a Show
For Mac users, click on the link while holding down the "control (ctrl)" key. For PC users, click on the link with your right mouse button. A menu will apear and give you the option to download the linked file.
How to just listen to a show
If you would like only to listen to a show, just click on the link. Most browsers will be able to read the .mp3 file with a plugin such as Quicktime or Realplayer - and you can set some browsers to open them in external programs such as iTunes. Unless you have your browser set to do this, it will not permanently save the show on your computer.