The easiest way to listen your songs directly from the Dropbox account is through the web browser. The service allows you to play the files directly, but if you use a local audio player, then download the Dropbox client and sync the folders on your computer. Add the folder to the player's library and that's it. You might have wait a little until all the files are downloaded, but then they can be played without having a permanent Internet connection.
Download Dropbox: https://www.dropbox.com/downloading