I'm not too sure about how to download the sets (I never do) but to listen to sets from mixcloud / soundcloud, you just click the link and then there should be a play button when the page opens (at least that's what comes up on my phone). To download a set from youtube, you'll need a youtube converter. To listen from youtube, you just click the link and the set should start playing.
There are some restrictions when it comes to uploading sets that have been steamed over the radio (Q-Dance Radio, B2S Radio, Hardcore Radio etc). Only upload sets from an event that have been released officially by the event organisers. I'm not sure what type of music you are into so I don't know how much of that will apply to you but it's just a heads up.
Don't know if I can post the links here, but Soundcloud sometimes has the option to download the set (If the uploader has activated that option). Otherwise you can use: https://scdownloader.net/
For Mixcloud, there is no download option, only http://www.mixcloud-downloader.com/ ... but the quality is very poor when you download it.
SoundCloud doesn't allow to download their music directly. If you want to download HD quality music SoundCloud you need one third-party software such as https://www.mp3converter.net/soundcloud-downloader
