Vic, what I'd recommend you do is download the podcast, rather than listen to it on the website.
So in the main area where we have the podcast, instead of using the player, right below that click on "Direct MP3 Download" and that will download the whole thing to your device. Then when the download is complete, it should start it up in whatever music player app is present on your device. Give that a try and let me know how it goes!
