If clicking the song title
didn't work, you may want to
right-click the title and "Save Target or
Link As".
Then open the file using your favourite media player.
The following media player programs
can be downloaded for
free:
Windows Media Player
(Yup, for Mac too!)
(if you already have it, check for upgrade by clicking "Help" in Media Player)
Winamp
(my favourite because it is quick and
no-nonsense)