Once you have opened the library, you'll see the following:
On the left hand side, each folder represents a category of sounds. Expand a folder to either see its subfolders or a list of sounds it contains.
On the right hand side, all the sounds in the currently selected category are listed. This will be empty until a category is selected.
Select a sound in the list then click the Play button to hear it. When you have finished, click Stop.
Select a sound in the list then click the Download button to download the sound (if it hasn't already been downloaded).