You can listen to the music either as streaming audio (if you have the required bandwidth) or you can download the entire file and listen to it off line. The streaming format is SMIL and requires a compatible player such as AmbulantX (open source player available for most platforms), RealOne or QuickTimePlayer. The beauty of the SMIL format is that the file you download contains only references to the actual media files and is therefore very small (usually less than 1KB). As long as I keep the mp3 files on my server you can keep the downloaded .smi file and listen to it whenever you want, or you can email it to a friend without using up valuable bandwidth.
I don’t care if you redistribute my music, make copies of it to give away or make use of it in any non-commericial way. However, it is still not legal to redistribute it so it is always at your own risk.