A podcast is an audio file that is available to download. You can download to your computer and listen with software, such as Windows Media Player, or on your digital audio player, such as an iPod.
Podcasting is a way to listen to a broadcast when and where you want to hear it. Some podcast software clients automatically download the latest version of a podcast you have subscribed to.

You can download a podcast and listen to it using software such as Real Player or Windows Media Player. You can also subscribe to a podcast with software such as iTunes: the software will download the latest version of the podcast for you.
To listen to a podcast on the move you can download it to your portable media device, such as an MP3 player.

The below link to Podcastingnews lists podcast subscription software:
Podcastingnews’ podcast subscription software