Podcasts -- still working on it...

I realise it's been a long-ish time since I last put thoughts here.
Well, it's a new month and so it is with new resolve that I am trying to tackle podcasts.
(Why do so many of the words created to describe new Web 2.0 things sound so ugly: blog, podcast, vodcast, voip -- or is it just me?)
But, I digress.
There are many programs on the ABC radio AM band that I enjoy. My MP3 player broadcasts only the FM band, so I can't listen to these programs on the go, unless I am in the car, and then any listening is usually interrupted. I have tried the streaming audio, which is good, but then I have to listen sitting next to the computer. But to be able to store these programs on my MP3 player and listen to them while I wait for a tram, or while on the tram -- this would be rewarding! I have some instructions in front of me regarding how to download the audio files to the computer and then to my MP3 player, but so far I have not been able to master it. I will report back when I have had some success.