Click the "Listen" link next to the show you want. Depending on the audio player you have on your computer, a new window will open or the player will pop up and the show will begin to play.

To save it to your computer to listen later, just right-click on the same link and "save file as." Apple users can save the Quicktime page that the audio begins to play on.

You can then manually load it to your portable listening device or burn it on to a CD.