go to the page where the soundfile is
right click and "save the link" to somewhere on your PC you can find it.
Go to the place on your PC where the link is, right click, select "open with" then select "notepad".
A page will open with a URL, copy and paste this URL into your browser hit go and the complete audio file should download to your PC, usually temp folder or if you use firefox whatever folder you have in your settings.