There's no page there, advertising or otherwise. The "download" link just launches a download. If you're using a popup blocker you probably need to open it up.
If you click the "player" link, that will try to open a little player, either Quicktime in Firefox or Media Player in Internet Exploder. It probably asks to install a plugin or an ActiveX control. We don't provide either of those; your browser will get them direct from Apple or Microsoft. A Mac will not require any extra downloads; it just works.
It's the same show either way. If the player link doesn't work, no need to fight with it -- just download the show and stick it on your iPod or play it with any MP3 software.