I guess the problem you encounter is that most modern browsers either have builtin audio players for the common formats or have plugins that can handle them. If your browser has a builtin audio player, you can usually just save the  file, e.g. with <Ctrl-S>. If your browser plays audio files using a plugin or if it does not support saving the current site, you can open a context menu on the link (usually right click on desktop browsers or long tap on touchscreen devices) and select an option that is called 'Save target as...' or similar.

Gracias,thanks