Do you have Realplayer downloaded on your computer? I know it works with that player.
The other thing is that I had a problem downloading audio for a while. I had to save the file first and then upload it into the player. When I started using Firefox the problem disappeared.
Specifically this is what I had to do in September 2009 (you can look at my earlier post in this forum)
Well I found I could right click and save the link and then listen to it - so all is well - thanks!