You will need either of the following tools: Real Player, Real Player Alternative or another tool / plugin that plays real audio files. I suggest Real Player Alternative
There is more than one way to save the files. I try to give an overview on all of them, there are surely more out there but I think its sufficient if you know how to save them, no one needs more than 2-3 ways for the same process.
1. Go to a webpage that offers Real Audio Streams, they normally offer a link to a .ram file which you download. The .ram file only contains the link to the .ra / .rm file, and thats what we need. Remember the .ra file contains the audio, the .ram file the location of the audio file.
Download the .ram file and open it locally with a text editor. You should see a line with a link to the audio file. If you are lucky the url starts with http://
If thats the case simply copy paste the url into your browser and you are prompted to download the audio file.
Unfortunatly most of the time the url does not start with http but with rtsp:// for example. The browser won´t download this files, there is a workaround for this though. Just a quick note, there is an older format as well, just in case, don´t worry if you find a pnm:// link, its just the old protocol. There should not be a lot of those around anymore.
You can use the flashget program to which is a download manager to save streams, it is able to handle the rtsp:// format as well as others.
Once on your hard disk simply double click to start the audio.