There are at least 3 ways to get a podcast.
if using iPhone or iPad you can subscribe thru iTunes. This happens automatically after clicking on the selected link. Click on either of the above pictures and you will be connected directly to the podcast.
Next: If on an Android device, you need to search for a PODCAST APP.
While in that app, do a search for the title of the Podcast. In the above example it's called "Opening Arguments"
The third way is to "listen" on your computer. While viewing this page, simply click on either of the above pictures and your browser will open a tab automatically.