Downloading lets you save a copy of your chosen song or messege onto your computer. You can then listen to this whenever you want, or even transfer it onto your portable MP3 player.
How you download the audio will depend on the set up and settings of your computer. Usually, if you want to download the audio you need to click on the link under downloadable messages and use the button on the right hand side of your mouse. You should then see a list of options including either "Save Target As…" or "Save Link As…". If you select this option (or a similar option containing the word "save") you will be able to save the audio file (MP3) to your computer. Remember to save it to a folder you'll be able to find again later.