The easiest way is to use the free iTunes application. Some podcasts have a one click link for subscribing in iTunes. When you click the link it whould open iTunes for you automatically, then it would either subscribe you automatically or open a page on the iTunes store where there is a subscription button. Sometimes, there's only an RSS link. If that is the case, you sould copy the link from the RSS botton, then open iTunes, go to the "Subscribe to Podcast..." on the Advanced menu, enter the RSS link there and click OK. There are other ways of subscribing to podcasts but I find this to be the easiest.