They can all be found in the iTunes store. Once you find the one you're looking for, just click "subscribe" and new episodes will download as they're released.
Well it's the easiest way to get podcasts. It's free and it works fine.
Do you have some other media player that supports them?
A podcast is essentially just an RSS feed that delivers audio files instead of text, so on most pages for a podcast, there should just be a link that says "subscribe"
Copy and paste that link into the "add podcast" (or something similar) field in your media player of choice, and it should automatically download them.