All sound clips have been compressed to MP3 format, allowing for CD-quality sound clips to be stored in very small files. Unless you have a really ancient computer, you probably don't need any additional software to listen to these clips.
If, however, you try to play these clips and your computer can't find a program to play them, download WinAmp or Sonique if you're running Windows, or iTunes or MacAmp if  you have a Mac. All of these programs are freeware.

All sound clips on this site are available in either high-quality (128 kbit/sec, 44.1 kHz, stereo) and low-quality (32 kbit/sec, 22.0 kHz, mono). If you have a high-speed Internet connection, definitely go for the high-quality clips (about 500 KB each). If you're using a modem, the low-quality clips are probably better (about 150 KB each -- a minute or so if you have a 56K modem).

If you have trouble downloading these clips, try right-clicking on the link, then selecting "save as" to save the file on your hard drive.