It took me a bit to get this figured out as well. Between Lon and my boss at work, we got it going.
Basically, from my PC, I right-clicked on the link and scrolled down to "Save File As." Depending on what you've got, you should be able to save it as an audio file to your desktop.
From that point on, I was able to rip it to a CD. So if all else fails, PM me and I'll make you a copy.