There are oh so many ways!

• Right here on the website. (With every audio resource that's released, there's a player right on the page that lets you click play and start listening right away (although it is flash based and therefore not available on iOS devices - and as an iOS user, I feel your frustration, but suggest subscribing in iTunes!)
• You can download the file and then do with it as you please: 
  • listen on your computer's media player
  • burn it to a disc
  • load it onto a portable media player like an iPod. 
  • How? There's always a link at the bottom of the post (usually right below the player described in #1 above) of the file's name. If you right click on that link and choose "Save Link As..." or "Save Target As..." or one of those options, a dialog box will open allowing you to save the file where ever you'd like on your own computer.
• Listen through iTunes. 
  • If you don't know what iTunes is, click here. 
  • If you need help with using iTunes, click here. 
  • If neither of those things apply, go subscribe and enjoy!