edited to add iTunes is now downloading the podcast for me - hit refresh (in iTunes) to see if it'll do it for you.
First, what browswer are you using? It's a little different for each browser.
Second, make sure you are right-clicking on the link "Download this weeks email show (MP3) "
In Firefox, I right click (click with the right mouse button) on "Download this weeks email show (MP3) " and choose "Save Link As" (on Internet Explorer, it probably is "Save Target As").
The browser then asks where I want to save the file - are you getting that prompt? If you are, make sure you're saving it someplace you can find it (like the desktop). I've downloaded things in the past and dumped them in strange places.
Then if you want to import it into iTunes, open iTunes. Click on File. Choose import.
Hope that helps. I just downloaded the file again to make sure it was working.