Thanks Earl,
for most links you can download the target of the link by right clicking... Oops! I forgot you were on a mac.
Do whatever the equivalent of that is on your machine. Maybe alt-click or option-click or apple-click and then select the appropriate Save-as equivalent.
This will work with a lot of windows media files, but bear in mind that they can be large. I don't expect it will run faster, but it will definitely run more smoothly and pause and play easier.
Because of the way Realaudio files are set up, the link points to something called a metafile, which is a file that points to the media. On those you can't simply save the target because it's a text file.
Regards,
Matt