Just clicking on the "play" button should work fine, if you've got a decent, recent browser. If it doesn't, or you don't even see a "play"button, don't sweat it. You probably just need a plug-in. Apple's QuickTime, a FREE premier multimedia player, should do it.
You could also download the link and listen to it from your hard drive, burn it on a CD or even put it on your iPod.
Thrilling Detective Fiction to go. What could be cooler?