I normally download and listen with my iPhone and I didn't have the problem, so I double checked the download on iTunes on my Mac and it was skipping too. So I downloaded the MP3 from the site and this is how I did it:
From this page -
http://www.downrange.tv/radio/103.htm - right-click or command-click with the mouse and select "Save Link As.." (on the Mac) and pick the location where you want to save it. The download will proceed. Once it is downloaded import it into iTunes or your favorite MP3 playing software and it plays fine.
I hope this helps.....