Download the podcast to Itunes or any other podcasting program
To download the show to a podcast app (like iTunes or Podcatcher) copy the complete URL under “RSS tokens” (be sure to copy the complete URL) and follow the directions of the individual app. For iTunes you need click on the link below the RSS Token and copy the URL from your browser and paste it in the “Subscribe to Podcast” found in the File menu of iTunes.
For older episodes:
(1) In the iTunes Sidebar (the list of folders on the left-hand side that shows folders like Music, Movies, Podcasts, etc.) click on Podcasts.
(2) Just under the iTunes Toolbar click on the My Podcasts tab
(3) Select the podcast name you wish to work with
(4) With the podcast you wish to work with selected, click on the Feeds link in the Title area.
(5) Click the cloud icon of each podcast episode you wish to download.