Well, all they do is shuttle an MP3 file they host themselves onto an embedded Flash player. So all you have to do is look at the page's source code (View > Page Source), and you'll find the URL for the MP3. Use Ctrl+F and search for "MP3" - then grab the part of the URL that begins with http://
Example: "Looking Up", the current episode about Galileo. It was a cinch to find the URL for the totally savable / downloadable MP3, which I've kindly linked here. Update: And now there's a part 2!