If the connection over which you are listening to the excerpts is too slow, then the playback will be interrupted or broken. This is because the player has exhausted the buffer of music that it has downloaded. It is best to allow the buffer to grow larger before listening to the excerpt again.
The excerpts are also available in a MP3 56k format, which should substantially increase the speed of the download to your computer.
Alternatively, you can download the entire excerpt before listening to it. If you player starts to play before the file is fully downloaded, right click on the ¯and choose "Save Target As ..."