First, make sure you have RealPlayer on your computer. You can download the Real Media Player for free. Make sure to get the correct version for your operating system.
A problem appears to have popped up with recent versions of Mac OS 10.4 in which RealPlayer no longer opens automatically. This started happening even to me when I upgraded to the latest player, and I have contacted RealAudio to ask how to fix it. They are not sure how to fix the problem. You may have to proceed as described next, sorry!
If you have clicked on the link to one of the streaming audio files and nothing has happened, check your computer's desktop or wherever downloaded files usually end up. If there is a .ram file there corresponding to the music you were trying to play, double-click on that and it should open the player and play the music.