right click on the "mp3" link and choose save target as...
and then put it somewhere on your hard drive (desktop for me)...
at this point you can burn it to a CDROM to listen to during your daily commute on Monday morning, or transfer it over to an MP3 player to listen to on the treadmill at the gym.
That is what I do. I really have no time to just sit and listen, maybe one day

!
Matt