Peggo on iOS
Unfortunately iOS, the operating system on your device, doesn't have a filesystem in which Safari can save the MP3s and MP4s recorded by Peggo.
To save the multimedia files recorded by Peggo, you need an app that can save files to its own, app-specific storage and play them. We recommend the app Documents.
Once you've installed Documents (or a similar app), open this page in that app's web browser and record away.