That`s the most bizzare way to link to an MP3 I`ve ever seen. The PDF exists solely to provide the link to the audio file. When you download the PDF are you viewing it in Acrobat or Preview? Either way, you should be able to view the link to the mp3 file. Copy or retype that link in your browser (Safari?) and the save the MP3 file to your music folder.
The audio file isn`t an mp3 application; that`s the file association that is set in your browser - to play them via the quicktime player in the browser. You want to just download the file instead. I think you can change that default behaviour in the Safari preferences.
Also, another step that`s worthwhile for audio recordings like this or the REIN meeting CD`s is to convert them to audiobook format. Basically you use iTunes to re-encode them in AAC format and rename them to .M4B extension, then re-import to iTunes. The advantage is that for audiobooks, iTunes/iPod tracks your "bookmarks" and you can use the fast playback option which cuts the time it takes to listen to them.
See this guide for details:
http://oakroadsystems.com/genl/itunsabk.htm