To get the MP3's to play in your car or while you walk, you will need to add them to your iTunes (or similar) and sync them to your preferred media player, just like any other normal MP3 you download.

To download the MP3's "right click and save as" under each video. This will download them your computer. And then import them to iTunes (or similar)

After this step is complete. You can then open your iTunes (or similar) drag or import the downloaded files and sync them to your phone or MP3 player. 

For assistance on iTunes (or similar) please follow their support documents.