From NewsGator Technologies:
Compile feed and download podcasts into your mobile device for further listening. Tab-and-hold the feed you would like to download and select the "Fetch" item from the context menu. This will download the feed's OPML file to your device. You will be presented with a list of the available episodes published by the feed's author. Please note that episodes that have been downloaded before will be hidden from the list until the download cache is cleared. To download, select the desired episode, tap-and-hold, and select the Start item from the context menu. To listen to a downloaded episode, tap-and-hold the appropriate file and select the "Play" menu item. This will launch Windows Media Player and automatically play the episode.