Downloading linked .wma files

Hi all. I really enjoy downloading talmud lectures that I access through the web and are in .wma format. I can get them to play on my iMac but can't save them and convert them to MP3s. I've tried a bunch of software out there with no luck so far. The problem seem to be saving the file that is linked to the web page, rather than the link itself. One downloads lectures by clicking on the numbers here:

http://www.rabbileff.net/shiurim/amudyomi/shabbos.htm

On my windows machine it was easy - I'd just do - 'save target as...' and then convert the .wma file to mp3 in iTunes.
Any help would be welcome. Thanks!

update

Now it seem like I can get the files to appear in my download page if I do control-click and then select 'download linked file,' but then I can't move the file out of my downloads into iTunes (or anywhere else!). It plays in Quicktime but that's it. Any advice is welcome. Thanks!

I did a Google search and 2 seconds later got this:
http://www.askdavetaylor.com/convert_mac_wma_audio_files_to_mp3.html

For more results:
http://www.google.com/search?client=safari&rls=en-us&q=convert+wma+mp3+"os+x"&ie=UTF-8&oe=UTF-8

I've tried that and it doesn't work. Thanks. Any other ideas?

I hate to tell you, but it works like a charm for me. Make sure you right-click on a lecture and save the wma file to your computer. Once downloaded, use Switch to convert it to mp3. Works perfectly here.

You may want to make sure you have Flip4Mac installed if you don't yet.
http://www.microsoft.com/windows/windowsmedia/player/wmcomponents.mspx