there are several ways to make this happen. if you use itunes it's very easy. up top in the menu bar, go to 'advanced' --> 'subscribe to podcast'. then paste the url (for example, http://feeds.feedburner.com/socketscdr, or http://feeds.feedburner.com/truthpod) of the feed in the box. ... and voila, yer done... whenever you want to access it, just click on 'podcasts' over there to the left, by 'music store' and 'library' and all that junk. (the new audio also appears in the library.)
if you don't use itunes, you can download one of several free programs that are specifically designed to receive podcasts. i've used one called 'juice' (formerly 'ipodder'). it's pretty easy to use. you can download it here: http://juicereceiver.sourceforge.net/
you can also subscribe through an email client like mozilla thunderbird. this page tells you how to do it with t-bird: http://kb.mozillazine.org/RSS_basics_%28Thunderbird%29
you can also subscribe w/ a web-based 'podcatcher', like odeo: http://odeo.com/ i think the deal with these is that you create an account and then you tell it which feeds you want to subscribe to and then you log in whenever you want your stuff.
or using live bookmarks on firefox, if that's your thing: http://mozilla.gunnars.net/firefox_bookmarks_tutorial.html#live_bookmarks
more at http://en.wikipedia.org/wiki/Podcast
