Due to this message, I decided to try it. The songs didn't play for me either. They have played OK in the past, and I have made no changes.
Using Netscape with ZoneAlarm either on or off, I get a popup window with nothing inside it. I also tried Internet Explorer without ZoneAlarm running, and I also got a blank popup window, but with a little more information at the bottom. It said Unknown zone.
However, the problem seems to be confined to the music links listed on the pages that also have the videos (under Learn the Dances). The "Music pages" for each dance type works OK. Those are the pages with nothing but music links on them.