The sound files have been put up (generally) in MP3 or Flash format. These can be played in a variety of standard players. However if the set-up on your local machine is not installed properly or is operating incorrectly you may have issues when playing the recordings.
If you do have issues when you directly click on the links then it is best to right-click the link and save the file to your hard-drive - then try running it from there.
If you still cannot play these files you may need to get a technician to investigate the machine, applications and settings, to see why the files are not playing correctly.