See here for instructions.
1) Select and copy the podcast text (e.g. "http://www.slackerastronomy.org/slack-live.xml").
The link above the text is to the original website for that podcast.
2) Open iTunes.
3) In the menu bar select "Advanced" and "Subscribe to Podcast..."
4) In the box that pops up paste the link that you copied in step 1.
5) Click "OK".
6) You should now have subscribed to a podcast. Well done.
If you're not using iTunes to load podcasts then you'll probably be able to work out what to do yourself.