Itunes is an application created by the Apple corporation for playing your audio and video files. A lot of people have it as now comes together with Quicktime Player.
You need to copy the address of the podcast feed. This is normally done by right-clicking the podcast / rss image (known as a chicklet) and selecting "copy link location"
To subscribe go to the Advanced Menu and Select Subscribe to Podcast
Then paste in the Feed address
The podcast channel should then appear in your podcasts section. You can set itunes to automatically download new content or you can set the settings so you click on each video / audio file to download each one.