It all depends on what your default player is...
If Windows Media Player is your default, its pretty simple. Just click on the link on the site, WMP will load, and then click File -> Save as. Once the thing is downloaded fully youre done!
If Winamp (or something else) is your default player, on the website instead of just clicking the link, right-click it and select Save Target As. Save the file to your desktop (or wherever). Now, right click the saved file on your desktop (called edna.m3u I think), and select Open With -> Windows Media Player. It should be playing now, so click File -> Save As, and youre done!
