There are 3 different types of music available from LGD. The first are YM files which you listen to with Leonard's ST Sound Player. The second are MOD files which you can listen to with any decent mod player such as MOD Plug. The third are SC68 files which require the SC68 plugin for Winamp (or xmms)
Where To Download The Players
ST Sound Player
(Click "PC-Windows on the left navigation bar and then "ST-Sound")
MOD Plug Player
(Click the drop-down list "What Would You Like To Do")
You'll often see duplicate music files but if you can get them, the SC68 files offer the best clarity and replay quality of ST music around.
Streaming Audio?
There are some Internet radio stations that feature Atari ST game music (as well as other great tracks) which you can listen to with any mp3 player supporting Internet streams (i.e. Winamp, iTunes, Media Player, etc). The best radio stations are: Nectarine and Kohina.