Podcasts are audio files that are automatically delivered to your computer's podcasting client when you subscribe to a "feed." Download and install a podcast client like iTunes or iPodder. Copy the URL of the podcast. In Windows, right click on the "RSS valid" button, and select "Copy Shortcut." On Mac, control-click and hold the mouse button down, then select, "copy link." With iTunes, go to the ADVANCED menu at the top of the screen and select "Subscribe to a Podcast." Then paste the URL into the window that opens, click "OK." With iPodder, go to the SUBSCRIPTIONS tab and click ADD NEW FEED. Paste the URL into that window.