First off, welcome to CFC. We use the edit button here.
Secondly, Audacity has no such support. You will need to find the source file. In Firefox you can do this by right clicking the page, selecting "View Page Info" and in the media tab looking for the mp3 file. This will only work if the file is embedded in the page. If the file is embedded within a flash player, then you can check out the page source and find something along the lines of flash vars. A search for .mp3 or .wav in the page source will usually point you to the right place. You take that link, paste it in your address bar and hit enter. Your browser will either ask you to save as or play it using a full-window player. In that case, File> Save Page As.
Hi Genocidicbunny - many thanks for your prompt reply.
I opened "View Source" in Safari and there were no hits for ".mp3" or ".wav". I also tried "aac" and "aiff". However, there were over 30 hits for "wav" (i.e. without the preceding period). Some of these related to "streamURL" files - I tried these links in a new tab and they opened the tracks directly (there were multiple audio tracks embedded in the page). In Safari I could not save or download as a link (I think due to whichever plug-in is the default one on my computer for playing this sort of audio file from the web). However, in FireFox, copying the same streamURL and opening the file directly for play allowed me to select a pull-down menu and "Save Source". Bingo! Thanks to a superior streaming audio plug-in? I dunno ...
Thanks for all your help!