Introducing

Instruction to save the file on computer
Once you right click on download link, choose the option "Save Target As..." and it will open up a new window with 3 buttons, Open, Save and Cancel
Click on Save button.

and then you will see another window to save the window, you may save the file on your desktop, so that you may listen to Gurbani Katha later too.

Once you press the save button, it will start downloading katha, it may take couple of minutes depending on your internet speed, you will see another window where it will show the progress of download, there is option 'close this dialog box when download completes', make sure that it is not checked. if it is checked, you will see 'x' and you may click on this 'x' box and it will become empty box.

Once download is completed, you may click on open button to listen to the katha.
Waheguru Ji Ka Khalsa, Waheguru Ji Ki Fateh.