To download the songs to your computer (so you can play them in iTunes or Windows Media Player or maybe burn them to CD):
On a PC: *Right click* on the title of each song and a little window will open up with an option called "save link as" or "save target as".
On a Mac: Hold down the *control* key and click on the title of each song and a little window will open with "save link as" or "save target as".