The 30 second music previews on this site are available in two formats - MP3 and WMA .
They are encoded at 44.1Khz, Stereo, 16bit, which means each 30 second file is about 500kB and will take a minute or so to download over a 56k modem.
If your web browser is configured for audio you should be able to just click on the icon and play will start automatically. If not, you may need to download and install a helper application. Here are some commmon ones:
Windows Media Player (Windows and Mac)
Quicktime (Windows and Mac)
Win Amp (Windows)
Or for a more comprehensive list see:
You can also right click the icon (Windows) or Control-Click (Mac) and select "Save Target As" to save the sound file directly to your hard disc.