Not sure why the link didn't work for you.
I just tried it and it was ok.
Try it again, maybe the server was burping at the time.
Right click and choose "Save target as"
When I click on mp3 links, that freaking quicktime tries to play them even though quicktime is not registered as my .mp3 file player.
I always save them to my hard drive and then play them in winamp.
I don't have soundclick or any other way to listen, since I have my own servers.