The player opens in a new window, so make sure your pop-up blocker is off. Or, you can also hold down "CTRL" as you click it.
Listening on a Mac?
(Mac OS X v10.3.9, 10.4 and later)
• Apple Safari 2.0 or later or Mozilla Firefox 2.0 or later
• Quicktime 7.0 or later, plus Flip4Mac WMV and the Flip4Mac Streaming Utility or Windows Media Player for Mac/OS X for Windows Media Streams