Think of a podcast as a radio show. Each show consists of a series of individual episodes that you can listen to how you want — on your computer, using your MP3 player, or directly with just a web browser.
You can listen to these episodes one at a time or you can 'catch' an entire podcast series using software on your computer. When you are set to 'catch' a podcast series, all new episodes can be set to automatically download to your computer as the episodes are published. And if you have an MP3 player, downloaded episodes can be transferred to your player for listening on the go.