The way a person listens to podcasts is through an audio player on your computer such as Itunes or Winamp.
Subscribing to Podcast
This is how you subscribe to a podcast via I-Tunes automatically (I am using wnyc’s Radiolab in this example)
1 – open iTunes.
2 – click on “Advanced” on the menu bar on the top
3 – go to “subscribe to podcast”
4 – it will ask you for the URL, copy and paste: “http://www.wnyc.org/shows/radiolab/” in the blank space and then click “OK”
This video shows you how to manually subscribe to a Podcast in Itunes:

This video shows you how to automatically subscribe to a Podcast in Itunes: