There is no "file", it's a audio stream. When you click that link it will either open you default media player and start playing what is being played (which might be mid song/show) or you'll get a prompt for what you want to open it with. Any media player should work because it's a MP3 stream and they are all compatible with MP3.
If you cannot get it to work then you can try to open the link manually. Copy the link above. Open Windows Media Player, then right click the title bar on the top of Windows Media player. File > Open URL. Paste the link into the dialog box and click open.
If that fails download and install VLC
, actually VLC is an excellent program that will play just about any audio or video you throw at it without having to deal with codecs but that's for another post. :) Once you have VLC installed copy the link from above and open the player. From the top menu File > Open Network Stream .... A dialog box will open, select the "HTTP/HTTPS/FTP/MMS" option and paste the URL in the dialog box.
You should hear music at this point following any of those directions, the live audio for the show will start at 7PM.