I use Firefox. I right clicked on one of your links, and saved the file which saved as a 5MB MP3. It opens in Quicktime and plays fine (jazz/blues). I don't want to open iTunes right now but unless it is one of those mp3s of which iTunes does not like the flavor then it should work in itunes too.
They're not audio streams - you can't save those in this way - they're just a direct link to the mp3 file, so if you click it it will play in the browser.
You can save the two you've linked to above as described. If you have a .webloc file it's a bit tricky because opening it will open the URL. What you need to do is to open it and select the whole URL in the address bar, then copy it and paste it into a TextEdit file for reference.
Now you need to create a web page in iWeb or any website creation program, and create a link to the URL you've saved. Then you can open the page in a browser and control-click (or right-click) it to download the file.
Alternatively paste the following into TextEdit:
<a href="URL OF THE MP3 FILE">Link to the file</a>
Enter the URL of the file where I've indicated, including the http:// - make sure you don't delete the inverted commas which must enclose it.
Save this page as anything.html (don't let TextEdit add .txt on the end) and open it in a browser: now you can control-click it to download the file.
Of course all this assumes that you have only the .webloc files - if you have found a website with direct links to the files then none of the above fandango is necessary.