To open the audio instead of downloading a file, what you do is open them from the browser using the player that is installed by default on your device. If this applies to you, it would solve the problem.
Click on the audio file from the teacher dashboard. A new dialog box will prompt. Make sure to check the option Open with, and select your audio player as default. Then check the option, "Do this automatically for files like this from now on". By doing this, your web browser will not ask you to download the file. It will reproduce automatically.
By clicking on one of the links, it will download the file. In the "downloads bar" (Bottom of the window), click the arrow and select - "Always open files of this type".
This way the next time you click on a link, the file will play instead of download.
If you want to make the browser settings back to default (file will download instead of play instantly) just uncheck the "Always Open Files of this Type" option.
Click on the file. A new dialog box will pop up at the bottom of the window. Select Open. Unfortunately, Edge does not have a "Play automatically" setting.