The files are mp3 format. Right click on a file name and choose Save as... to download to your PC.
The files will stream directly from the web if you are using a PC or laptop.
To play the files on an iPhone or iPad:
1. Save the mp3s to a folder on your laptop
2. Import the folder to iTunes
3. Use iTunes on your iPhone /iPad.
OR
1. Create a Dropbox account and install the Drobox app on your iPad and iPhone.
2. On your laptop save the mp3s to your Dropbox account.
3. Open Dropbox on your iPhone, you can 'star' it so it's downloaded and kept for offline access.