Mac users should have the latest version of Quicktime installed. The Quicktime Plug-In needs to be configured to work with your browser (this is usually done automatically upon installation). Alternatively, you can shift-click an audio file, save it to your hard drive, and open it manually with Quicktime Player.
PC users should be able to use Windows Media Player. You may want to download the latest version.
Of course you can use a multitude of other sound apps to play these files. The above mentioned are generally pre-installed on most machines (and they're free!).