1) If you're using a windoze machine, use Winamp or iTunes for Windows. There is also a host of streaming apps for mobile devices.
2) If you're using a Mac, use iTunes
3) If your web browser insists on saving the file, let it. Just remember where it's saving it to.
4) Open your player and drag the file into the playlists window of your MP3 player.
5) Double click on the file now and the feed should start up.
6) When you close the player, it will ask whether you want to save the playlist file. The answer is yes.
7) If all else fails, the stream address is http://stream.eargazm.com:8000/hires.mp3 or the new Ogg link http://stream.eargazm.com:8000/hires.ogg
Copy and paste the IP address into the "Open Stream" window and that should do it.
8) Problems? Email me.