Downloading mp3's and mp4's is simple :-

Just click on Podcasts, then choose a 'Feed Name' and click into it.

Then hover the mouse pointer over the name of the item you are interested in.

The pointer will change to a hand.

Right click the mouse, and "Save Link As".

If you don't have an MP3 player - very handy 'USB Stick' models are available from, say, Amazon for around £20 (!). [Click here for selection] the ATMT iZone MP120 2Gb for example, is recommended.