I went to the http://www.cknw.com/ web site, and found this link http://www.cknw.com/other/audiovault.html for audio archives. Is that the same link you are tying to use?
If so, this is what I find using my Vista and WMP version 11;
1] In my IE8 (Internet Explorer 8), browser:
Nothing happens! Well, in fact, I get a very brief flash of another window opening, then that window disappears, then nothing happens.
My IE > Tools > Manage Add-ons, (then under "Add-on Types" select "Toolbars and extensions", then in the "Show:" pull down selector, show all add-ons), shows I have Windows Media Player enabled, but that doesn't work. Even if I disable that WMP add-on, the same 'nothing' happens.
That seems to me to be a fault of the web site.
2] I get better results using my Firefox browser.
In Firefox I go to the same audiovault page, then one of two things happen;
a) If my WMP Add-on in Tools > Add-ons > Plugins is enabled, then click the "Listen" button and the browser page changes to Windows Media Player, and the archives audio works OK.
b) If I disable the WMP plugin, (or add-on, whichever it is called), in Firefox > Add-ons, then click the "Listen" button, and a file gets downloaded. I save all my downloaded files to my Desktop as a temporary storage area. Your system may save downloads to your Downloaded folder.
When I click or double click that downloaded file on my Desktop, WMP opens and after a short while starts to stream the audio file.
So, there are different possibilities here. IE doesn't work for me, (I suspect a web page fault), but Firefox does.
My WMP is version 11 on this Vista system but I don't know what version you have.