How you download the audio will depend on the set up and settings of your computer. Usually, if you want to download the audio you need to click on the 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 select this option (or a similar option containing the word "save") you should be able to save the audio file (MP3) to your computer. Remember to save it to a folder you'll be able to find again later.
If you click on the Download link using the left hand button on your mouse, the audio will usually play. How this happens will depend on the set up and settings of your computer. Usually your default media player will open and the audio will start playing automatically.