To use this service, you will need a program that plays .wma or .mp3 files. You can get a free version of Windows Media Player here.
To listen to a sermon, in most cases you simply need to click on the selected link. This should launch a media player that will automatically play the audio. If you are using an older computer and are experiencing difficulties, you may want to try right clicking on the selected link and choosing "Save Target As". This will allow you to download the audio file all at once and then play it from your local disk.
If you want to burn a sermon CD at home, you should right click on the selected link and choose "Save Target As". When the download is complete, you can select the "Burn" feature in your media player.