To listen to audio podcasts now, just click the arrow on the play bar. You should start to hear the podcast within a few seconds to about a minute, depending on your internet connection.
To listen to audio podcasts later on,
1. Right-click on the mp3 link below the play bar.
2. Left click on "save target as..." and a dialog window will pop up.
3. Pick a location on your computer to save it where you can find it later.
When you're ready to listen, click on the link twice, and one of your audio players in your computer should start to play the audio within about a minute.
How to download podcasts to your ipod or mp3