Downloading Podcasts with Rhythmbox
Note: if you are using Banshee then this step is not necessary, as the download is done automatically (-assuming you checked the "Download new episodes" checkbox ).
Before you can listen to a podcast with RhythmBox, you will need to download it. In the example below, you'll note that only three podcasts are shown as downloaded (orange), although many more past episodes are also shown. If you'd like to listen to one of these other episodes, simply right click you mouse on the desired episode and select the option “Download Episode”:

The download will then start and progress will be shown (-as a percent complete value) in the “Status” column on the right hand side:

Once completed, you'll see the “Status” value change to “Downloaded” and you can play the episode in the normal way.