On the Download Page, where it says "Or Play The Chapters Individually Via Your Browser", you click on each Chapter link, one by one.
The link will open a player, and once you've listened to it, hit the "back" button on your browser to go back to the page to find the next Chapter link.
If you want to download all files so you can add to iTunes, you will need to download to a desktop computer or laptop, add to iTunes, and then you can access it on your iPad or mobile device.
On the Download Page, there are instructions for how to do that.
That should do it! Any other questions, please email Support at firstname.lastname@example.org