If you prefer a GUI program, got to http://www.foobar2000.org and download the standard edition of Foobar2000. This is a rather handy program for playing Speex files. You have to associate the extension .spx with Foobar2000 initially.
If you prefer a command line tool that gives you more options, go to http://www.speex.org/download/speexbundle-1.0.1.zip and download the files. In Windows XP, Windows ME or later, you can open the zip file without additional software. Extract the contained files to a folder and the installation is complete.
Instead of clicking on the links to Speex files, right-click and use the ``save target as'' or ``save link as'' option to save the file. Go to File Explorer and double click on the files with spx extension. Windows will ask you how to open a file of this extension. Choose ``others'', and navigate to the folder containing the files you extracted earlier. Associate the spx extension with the program speexdec. Click ``Okay'' and we are all done. You should hear the playback as soon as you click ``Okay''.