Instructions:
First, download the desired files (which are self-extracting) and run them to extract the DTS WAV files. Next, use a CD burning program such as Adaptec Easy CD Creator to burn the WAV files as an audio CD as what you'd do with regular WAV files.
If you have a CD player with digital output capability, connect the Digital Out from the CD player to the Digital In of the sound decoder. Similarly, if you have a DVD player, connect the Digital Out on the DVD player to the Digital In of the sound decoder. This can be done by using either a RCA coaxial cable (S/PDIF) or optical cable, depending on the type of output that is on the CD/DVD player.
Then it is just a matter of putting the burned CD into the CD/DVD player and playing it. In the case of playing a DTS encoded track (the files on this site), the decoder will automatically detect the DTS signal from the CD and you should hear the 5.1 remix.

WARNING:
Please do not attempt to play DTS encoded WAV files on a regular stereo audio player or on the computer. Doing so may result in a high-pitched noise that can hurt your ears and/or damage your audio speakers.
A DTS decoder is REQUIRED and absolutely necessary to listen to DTS encoded WAV files. It is recommended that you test-play the music files through your DTS decoder (sound receiver) starting at a low volume to make sure that it is decoding/playing properly.

Note that some DVD players CAN NOT play CD-Rs or CD-RWs so make sure that your DVD player that can play CDs that are made from a CD-Recorder or CD-Rewriter.

Go here for a in-depth description about DTS before downloading:
http://www.timefordvd.com/ref/dts.shtml