Download settings can differ...

If clicking normally on the ‘Download Audio’ link does not initiate a Download for you, right-click (or Control + click if using a single-button mouse) on the link and select ‘Save Link/Target As’ from the pop-up menu.

 

If you do not frequently practice Downloading, you might not have set up your Downloads folder for obvious display on your desktop.  if this is the case, it is possible that Download is happening but that the file is ending up in a hidden folder.  Please use the Finder or Search function for your computer to look for a Downloads folder.