Pretty much all the audio files on this site are in Ogg Vorbis format. Ogg Vorbis is a free audio format that gives superb quality at lower bitrates.
If you use Microsoft Windows Media Player, you will need to download a Direct Show Filter. This will enable you to play Ogg Vorbis, Ogg Speex, Ogg Theora, and FLAC formats.
If you want to play the files in iTunes then this QuickTime Component will let you do this on Windows and Apple Mac systems.
If you need more help, the developers of Ogg Vorbis have a great page to help set you up.
the SVG Player
For HTML5-capable browsers, I have included an audio player with standard controls.
Alternatively, You can install a plug-in for SVG [as you would for Flash or QuickTime] from Savarese which might work [I don't know as I have no way of testing it].