Can someone please help me out with this Audio Glossary

I found this really helpful CNA site with a glossary and study guides.....but whenever I try to click on the words, they dont play the audio?? I tried to save the file, but it saves as a document file?? Can anyone help me out with it??? Thanks Here is the link...
http://wps.prenhall.com/chet_wolgin_....cw/index.html
If you have itunes, or maybe media player it should work, I had to open a file for each word. I had no problems when I used it with a cd-rom that came with the book. good luck