Have you tried iTunes?
Download from here:
http://www.apple.com/itunes
Then, once all installed, run it and click on the itunes store item to the left of the window.
This will present you with the store. Top-right is a search box. Type in 'wogan' or 'steve wright' and press enter. In a podcasts section it'll show you the wogan show (or steve wright's show if you searched for that). A button next to it will read 'subscribe'. click that and they'll automatically download.
On the left of the window again will be a 'podcasts' item -- this is where they'll go. you can click this to play your podcasts back when you want. new episodes will be downloaded in the background for you.