A French amateur radio operator was able to record and convert the signal of the Mar Express probe’s X-Band transmitter into an audio file. More information plus a sample of the recorded sound is available from here.
The equipment from an abandoned telecom uplink site used to listen in on the ESA’s Mars Express space probe wasn’t enough to allow download of the actual data.
“Listen here to the whistle of Mars Express as it hurtles towards Phobos and consider that this signal was generated on Mars Express by a transmitter only slightly more powerful than a light bulb.” – http://webservices.esa.int/blog/post/7/1058