If all you see upon right-clicking is “View HTML” or “Save this page” etc., you are NOT clicking on the link texts.
Move your mouse pointer (called “cursor”) on the underlined text (such as “16. Ludwig”) – you will see the link destination URL “http://www.sierragamers.com/uploads/49/8279.mp3″ in the status bar on the bottom of the browser screen.
The text should also slightly highlight.
Right click; you should receive quite a large context menu (10 or more items in it). One of them should be “Save target as”. Use it to save the “object” the link points to to your hard drive.