Clicking on the sound icon opens your installed .mp3 media player (such as Apple's Quicktime player) in a separate window and plays the sound file you just clicked on. Each time you play a sound file, a new window will open.

If you don't have QuickTime installed:
Go to Apple's Quicktime page to download it for free.

The alternative to this would have been to embed the sound in the large HTML file. This would have made the time it takes to initially load the dictionary page file prohibitive for most users.