Twas the night before Christmas

It is best to save it to your computer.  Put your mouse over the link and click on the right button.  From the menu that pops up, choose:
"Save target as"
The computer will pop up another window asking you where you want to save the file on your computer.  It is often easiest to choose your "desktop" so that the file will be easy to find.

Once it has downloaded, all you have to do is double-click on the file.  Whatever program you have assigned to play MP3 files should start playing it immediately.