There will be live episode of the Speaking English Podcast, taking place on October 8th, 9pm, CEST. Find out what this translates to in your time zone by clicking this link.
Aside from subscribing to the shows through Apple’s iTunes programme, you can go to this view of the episode, scroll to the bottom and look at the gray “Quick links”-bar underneath the comment captcha feature: The second item from the right says “Download”.
I think though, that downloading with iTunes is much easier. Screencast to follow.