You can do this through the Podcast app on your iPod. After you open up the app, click on store and it will take you to the iTunes store with a number of Podcasts. You can use the search to find the Podcast you want. It will bring up the podcasts for that program. You can then download the episodes you want. They will be downloaded directly to your iPod. If you choose to subscribe to a Podcast, new episodes will be downloaded as they become available. This is the only way I have been downloading Podcasts on my 4th Gen iPod for a couple of years.
