Darryl,
I'm not a Mac user, but what you describe sounds like something I have seen before somewhere. Are attempting to just click (i.e. left-click) on the link? If so I suggest first downloading the file by right-clicking the link and selecting "save link as" or words to that effect.
Once you have downloaded the file, either doubloe click on the file icon to opn it, or (and this is probably the approach with the least risk of not working) start Windows Media Player, and select the File-Open menu option and open the file from there.
Worth a look.
Mark.