You can download the files to pretty much anything using Safari...
Open the page, but don't click play yet.
Go to the "Develop" menu and choose "Show Page Resources" (if the develop menu is not there, turn it on in the preferences)
Then press play on the song and the file it's streaming will show up under "Other" in Page Resources and you can double click it and it will download. In this site's case it's a .flv file but there are a bunch of .flv to .mp3 converters u can get for free