Open up developer console (F12) network tab and reload page/play audio. In the list of network requests, look for something that looks like the resource you want (e.g. in this case, filename: "mp3", initiator: "media", type: "mpeg"), right-click and "save response as". This doesn't work on every site, but works on yours!
Fancier sites do not serve media files directly but fetch encoded chunks of data and recombine them using javascript. To get the whole file back you need to re-implement the javascript, which is what yt-dlp does, but only works for sites it knows how to handle.