As you might have noticed, all the songs are in either XM or S3M format.
In order to play the files you have to get a player (Duh).
Here's some recommended software:

NAME: PLATFORM DESCRIPTION HOMEPAGE
YAMP Win95 A nice looking player with lots of different designs. Very easy to operate. Go there!
Cubic Player DOS The best player. However, it might be kind of hard to configure. Go there!