You can listen to a sermon immediately by clicking the appropriate Listen now play button with the left mouse button. The sermon should begin playing almost immediately. If you find that the sermon continually "breaks up" while you are listening to it live, you may find the quality to be better if you download it to your hard drive first.
To download an entire sermon to your hard drive in order to listen to it later or burn to a cd, click on the Sermon Title with the right mouse button and select "Save...As". Once it is on your hard drive, you can double-click the sermon to begin listening to it.