You can press play from the MP3 option on the Agility Nation lesson you want to listen to and it will stream and play.
If you are concerned about using data, you can download the MP3 file to your phone using wifi. Once downloaded, they can be played without wifi or data.
Android phones will play them automatically after opening the downloaded file and pressing play. iPhone will start playing it automatically as the file is downloading.
If you have your phone bluetooth connected to your car speakers, then you can listen to it through the car stereo as well.