Selecting "Sermons & Talks" and the "Available to Download" from the main menu (on the left) will give a list of available talks that can be downloaded, with the newest talks listed first.

Selecting the link against any sermon will select that MP3 file, and in most cases will start loading the file into the default media player (e.g. Windows media player). To save the file (in internet explorer) right click the file and select "Save Target as ..." & then select the location where you wish to save the file.