Downloading podcasts

On your computer, you can set your podcasts to sync to your Zune automatically or one at a time by dragging them to the device icon.
SET PODCAST SYNC OPTIONS

1. In the Zune software, click the device icon, then click Settings, Podcasts.
2. Choose your podcast sync settings.

What and how you want to sync is completely up to you. You can choose to:

• Sync all downloaded episodes.
• Sync all unplayed or partially played episodes.
• Sync only the first unplayed episode. This setting saves a lot of space—only one episode lives on your Zune at any time.
• Don't sync any episodes.

You have to use the proprietary Zune software to sync podcasts - the instructions are vague, so I would go to the Zune support forum to get further instructions on this:
http://www.zune.net/en-us/support/usersguide/gettingstarted/setupfaq.htm