If you just want to listen, click on the link and it should launch in your default media player.
If you want to download them to your computer, right click on the link and click "SAVE TARGET AS..." or "Save link as".
First start by moving the WAV file to the appropriate directory on your computer. For most Windows PCs you can find this directory by navigating Windows Explorer to the following path: C:Drive - WINNT or WINDOWS - Media.
Click on the START button, then SETTINGS, then CONTROL PANEL. This will launch your Control Panel window. Inside this window find an icon called SOUNDS and double-click. Under the EVENTS window you will find actions listed. All you need to do is click on an event (for example Exit Windows). Then click the BROWSE button and select the sound you want to associate. You can also browse the rest of your computer for WAV files.
This can vary greatly depending on service provider, phone and version of Android you have. In most cases you can connect your phone to your computer and copy files directly to the Ringtones folder on the actual phone (not a card). Per AndroidAuthority: Copy the MP3 files to your phone, Go to Settings > Sound > Device ringtone,Tap the Add button to launch the media manager app, You will see a list of music files stored on your phone, Your selected MP3 track will now be your custom ringtone.
This can vary greatly depending on service provider, phone and version of iOS you have. Per Macworld: Set any song as a ringtone on your iPhone: Select and edit a song. The first thing we'll need to do is choose a song in iTunes to use as a ringtone. Open up iTunes on your Mac or PC and click on the My Music tab. Choose a song that's on your hard drive then right click on it, choose Get Info, then click the Options tab.