If it's not DRMed, you can just put it in the /MUSIC folder. If there isn't one, just use Explorer to make one. The PSP doesn't read every format though. I know it can do mp3, aac and wma. I've only used mp3 so far.
I know that the PSP will play iTunes music but I think you have to rename the files to .mp4 For example, YourSongNameHere.mp4.
You have to download the podcast first then transfer it to your PSP by connecting your PSP to your computer and putting the music in the MUSIC folder on your PSP.
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