On a PC you can play the sermons straight from this page with the play button,download individual sermons or subscribe to the podcast feed to receive new audio automatically whenever it is available.
If you are on an iPad or iPhone, click the "Download" link and the audio should begin to play.
On Android, it might depend on how your system is configured, but clicking the download link, then looking in your notifications for the file download and clicking on it when completed should probably work.