If you wish to listen to the sermons on your computer, simply click on the title of the message. This will start the download and open an application which will play the message on your computer.
If you would rather download the messages and save them on your computer for later listening, to transfer them to an MP3 player, or to burn an audio cd of the message, then *RIGHT CLICK* on the title and select "save target as" (in Internet Explorer) or "save link as" (in Firefox) or a similar command in whatever browser you are using. This should begin the process which will enable you to save the file to your own computer.