This is a "pop-up" screen so when you want to return to the Zoo page, just exit the browser.
There can be several reasons why you can't hear the sounds. Beginning with the most mundane, all the animals don't have associated sounds. That shows up as the "Play Sound" button being "grayed out" and unpressable. Also, if you don't have speakers attached to your PC, you may need to turn the PC volume all the way up to hear them.
Next, the sounds run from something called a "Java Applet" and you may not have Java enabled in your browser. If that was a deliberate omission, just exit the browser to return to the Zoo page.
If you'd like to turn Java on in your browser or check to see whether it's on, here's how:
Netscape/Mozilla
If none of that helps, I'd greatly appreciate your sending me an email and giving me some information about your system. Here's an email link. What I'd like to know is: