A voice memo can be downloaded in Sdui in two ways:

About the cloud:
Go to the cloud folder of the chat where the voice memo you want to download was sent. Within that folder, click the "Voice Memos" subfolder and locate the voice message you want to download.
Click on the three dots to the right of the file name and then click "download".

About the chat:
Go to the chat where the voice message you want to download was sent. Click (on the PC) on the three dots at the top right of the voice memo and then on "download". On your phone, you can download the file by holding your finger on the message.

In order to play the voice message on your device, you need an appropriate playback program.