If you want to download the podcasts in Windows, make sure to right-click the MP3 then choose Save Target As... and pick a destination on your local drive.

If you left-click or single-click on the MP3 link above, your browser and MP3 player will think you are trying to "stream" the file and play it as it downloads, which can cause problems with some corporate firewalls and some installs of Itunes/Quicktime under Windows.