Windows Media Player Files.  These will stream automatically in the player.  If you want to download and keep these files, you just right click the link and "Save Link As" or "Save Target As" depending upon your browser type.  Choose according to your Internet connection speed.
Dialup	Not great quality, but pretty quick download
DSL or Cable	Good quality, will take a few minutes on dialup but it's a nice enough quality to be worth the wait