Click on the .zip links to save locally. Once downloaded, unzip/extract the .sid, .sdw, and .aux files.
Refer to the Orthophoto Index to determine which images(s) to download.

View Datalayer Description page

Additionally, download Image Catalog -- If using these images in ArcGIS, store this dBASE file and the unzipped image files in the same folder, and then add the .dbf into ArcMap and your images will draw as you pan and zoom, eliminating the need to figure out which images to add to your map.