Many great apps let you subscribe to podcasts, to automatically download recordings to your phone or computer as they become available.
iTunes on a Desktop/Laptop
Subscribe in iTunes
From iTunes' File menu, select Subscribe to Podcast... and paste: itpc://podcast.ucsd.edu/Podcasts/rss.aspx?podcastId=5239 You may be asked for your password twice.
Other apps on your phone or computer:
Search for "Great podcast apps for my iPhone/Android/Mac/PC" to find other ways to listen.
Your app will ask for an RSS Feed.
If that link does not work, your app may require you to copy/paste the address. Right click the RSS Feed link and select Copy Link. On a mobile device, tap and hold to bring up a menu that will allow you to copy the link.