It’s easy! So long as you have iTunes installed if you click on this link it will do the rest for you.
http://wfmu.org/podcast/PL.xml
Also you don’t need an mp3 player/ipod to play a podcast – all it is is an mp3 that gets delivered to your computer as soon as it’s available – how about that?
If you’d prefer to just listen to archives you can listen here in just SO many ways. We’ve even got a fancy pop up player –
http://wfmu.org/playlists/PL
Install iTunes for both Mac and PC here