You're going to need RealPlayer to listen to these files. You probably already have it...but if you don't, you can get the free version here.
You can listen to these files "live" from the Internet, or you can save them to your computer and listen later.
The sound quality will most likely be better if you save them to your computer.
After you've saved the files to your computer (if you choose to do so), you'll need WinZip to open them. if you don't already have WinZip, get the free evaluation version here: winzip.com