If you want to listed to an audio/video feed while you're running Linux or Mac is a bit ridiculous for a site to suggest you to install WMP (windows media player). There is one solution tho. Open the feed and it should get a windows that is expecting you to play the feed with WMP. View the source code of that page and you should find the URL of the feed.
You can play the feed easily on Linux or Mac using VLC. Just open a terminal an type: