In order to download the audio file to your computer to play back off-line do the following:
Right click on the link, which means to click on the link with the right button. Please note, if you're left-handed and have switched your left button with the right and vise-versa, you will use the left button.
When you right click on the link you will see a context menu appear. The next choice varies depending upon which browser and its version you are using. In Internet Explorer (IE 6.x) you will choose "Save Target As...". In FireFox (2.x) you will choose "Save Link As...". In either case, MAKE REAL SURE where you save this file so you can find it again to play back later.
Accept the default path and filename or change them as desired and then click Save. That's it. you can now go to that folder and double-click the file to play it. You need not be on-line to do this.