I know they aren't free, but why not just invest in one of the advanced learner dictionary plus CD-ROM packs now available (if you haven't done so already)? They aren't at all expensive, and all of them* allow you to click on any word in any Windows-based program (e.g. Word, or an IE/web window) to be automatically shown the relevant dictionary entry.
For example, the Cambridge CD-ROM has a "QUICKfind" function:
http://dictionary.cambridge.org/cald/cdrom/caldcd6.htm
Macmillan's QuickFind (in smaller QuickSearch display mode), and the Longman Pop-up mode, are similar to Cambridge's.
I've had a quick look in the instruction manuals for the Macmillan and Longman, and it appears that you can select a setting whereby the pronunciation will play automatically when an entry opens, so you should get pronunciation along with the entry at a single click (not 100% sure about this though, because being a native speaker I rarely need to hear the pronunciation and can make easy enough use of IPA instead, so I haven't made use of this type of setting yet myself).
As for which exact package to buy, I reckon the Cambridge might have the edge in terms of simplicity, speed and reliability, but the updated version of the Longman apparently offers recordings of not just every headword but also many many sentences, as well as the Longman Language Activator to boot (but I recall you need to go to dictionary entries to get pronunciations for any words, though). I'm presuming the Oxford is almost as good value for money (it includes the Wordfinder, and entries from the Oxford Guide to British and American Culture etc) as the Longman.
Lastly, the Macmillan is a great package, but the copyguard is a pain because simply re-inserting the CD-ROM after your initial 30 days are up isn't sufficient (you'll need to keep the CD-ROM in the drive ALL THE TIME whenever you're using the software after that, which increases wear and reduces speed of access somewhat...not sure how to get around this flaw, if it is typical of every CD-ROM that Macmillan has produced, could just be mine or my PC perhaps). You could always get a friend who's bought the Macmillan already to help you gain access to the online version of the dictionary - you'd need to complete a quiz to prove "you" have bought a copy - see second paragraph of the following post:
http://www.eslcafe.com/forums/teacher/v ... 2835#22835
It's been a while since I used the online version of the Macmillan, but if memory serves me correctly, it may well be the only one which offers audio pronunciations (because the users granted access have ostensibly paid for the dictionary package already).
Obviously, none of the free online dictionaries has click/jump functionality (outside of the dictionaries/dictionary webpages themselves) between them and whatever Windows programs (not sure about the Macmillan online, though I doubt it), so you'll be needing to cut and paste or manually type in the words into the online search box (assuming that there will actually be a pronunciation available online once the search has been done). EDIT: Fancypants, below, reports that the Merriam-Webster online has audio of the pronunciation.
*The Oxford Compass CD-ROM (sold with the the OALD 7th edition)
probably has technology similar to if not an improvement on Oxford's previous "Genie" stuff, which is similar to the other "quick click" stuff from Oxford's competitors, above, if some of my students' comments about the OALD 6 Genie CD-ROM were anything to go by.
P.S. I don't have my "Collins COBUILD on CD-ROM" package installed on my PC at the moment, so I can't tell you from memory if it offers the same "quick click" jump functionality (in Windows applications) as the above Cambridge etc packages, and in any case, mine is of the Third edition dictionary etc, so it could well differ from the less "packed" CD-ROM now offered with the Fourth edition of the paper dictionary.