To save a sound, right click on the listen link and "save target as" (Internet Explorer), or "save link as" (Firefox)

In Windows XP, the sound media is stored in the folder C:\WINDOWS\Media, so it would be best to save the sound file there.

Open the Control Panel, then open "Sounds, Speech and Audio Devices," then "Sound and Audio Devices." In the Properties window that appears, click the Sounds tab. In the "Program events" area you can then highlight an event, and then choose a sound to be associated with it by clicking the Browse button to find a sound file. Simply find the new sound file to associate with the action.