You need to plug your iPod into your computer, and then tell it to sync. You may have it set to not sync everything, so when your iPod is plugged in, open iTunes and then hit your iPod' icon over in the left column. You'll see options to "Sync only checked songs and videos," or to "Manually manage music and videos," and so choose whichever you'd like, then sync, and after it's done, your show should be on the iPod!

I listen to A Prairie Home Companion Podcast, and a Bluegrass one, but the Bluegrass one hasn't been updated in a while, I just keep them there for when I feel like hearing it again!