Exactly. It's the same thing with the Irish course. And every so often, whoever attaches sound files to words/phrases will attach the wrong one, which is why you will sometimes get a sound file that sounds nothing like the written version. If you come across one of those, report it, using the "report" button.
All three (la, wa and za) express possession (like "of" in English). The choice depends on the noun before it - which class it belongs to and whether it is singular or plural. For example, jina is class V, singular and nouns in this class take LA. The plural of jina is majina (names) - which makes it class VI and the possessive for class six is YA. So: jina la mkenya (name of a kenyan) but majina ya wakenya (names of Kenyans)