The download of the files audio (known also as download of mp3 files or subscription of a podcast) allows you to record in your computer the podcast that you choose.
These files can be listen to you in your computer directly or pour in a portable reader like iPod or whichever other reader to you, in order to listen to them while you move.
The applications that allow to unload the files of podcasting are numerous. Two between most famous are Juice and iTunes.
You choose the application and unloads it through the download: