Visit the folder that contains the names of the audio files (in browse mode via the access/content url for your site https://newcourseworks.columbia.edu/access/content/group/COURS_001_2012_1/, e.g. https://newcourseworks.columbia.edu/access/content/group/ANTHV3880_001_2012_1/) and copy the names of the files out of that listing. You'll use these filenames in the space above.
Paste the audio file names above and click "generate code". Copy the resulting code into your clipboard.
In Sakai, create an html page in the folder that houses the audio files. Switch to "source" mode and paste the content into the text area. Continue and name the document appropriately.
Be sure to put a copy of this swf media widget (right click, save as..., etc) directly in the folder that houses the media and the html page that uses the code generated above.
At this point you should have a folder with audio files, an html file, and the audio-player.swf widget.
When you visit the html page, the audio tracks should be playable and downloadable.