There are four ways you can play the podcasts.  First, you can directly download the .mp3 file by right-clicking on it then pressing, "Save Target As."  This is usually the best way to do it.

Second, if you have a very fast connection, you can simply click on if you have the Real Player installed.

Third,  if you have a super fast connection, you can click on if you have Windows Media Play installed.

Finally, you can subscribe using iTunes.