To download any of the audio files on the Recordings page, click on any of these links:
That will bring up a list of the mp3 files in the directory. To download a file, right click on its name (control/click with a one button mouse) and choose "Save Link As ..." or "Save File As ...". That will bring up a dialog box allowing you to save the file anywhere you like, whence you can listen to it, burn it to a CD, or load it into an iPod, as you wish.