The title of each song is a link to the .MP3 file that can be downloaded by right-clicking it and selecting Save link as from the list of options. You can also play each song directly from the player embedded immediately underneath its title.
Please be aware that sometimes the webpage’s player fails to play a recording, but, if you click on the song’s link it can be played by your devices default .MP3 player (such as Window Media Player on Windows systems), or, you can download the file which can then be played directly from your device.