The best way to get back episodes is to use the rss feed. If you have IE7 you can use it as an rss reader. If you still use a later version of IE you can use a free reader like Google Reader.
The rss feed for the DIS is here. If you go to that page and only see the raw XML you don't have IE7.
Once you see the page you will see a listing of each episode. You can right-click and save the mp3 files to a local folder.
You can now load an iPod through iTunes or whatever music player you are using with the necessary software.
One word of caution, the ID3 tag information is not all that standardized so you may want to make sure they are all the same. To do this, highlight all of the downloaded shows, right-click and select properties. Go to the summary tab (Making sure you are in advanced settings and change the artist and album title to whatever you would like. The ID3 info is now standardized.
You can use googles free reader which is here. If you have gmail by chance the login you use for gmail will work for the reader. If not it is free. It isnt as hard as it seems. I could show you how to do it in 5 seconds but trying to type it out looks bad.
When you are looking at each individual podcast in Google Reader you should see the slider bar for playing each episode. Right underneath there is a web link labeled Original Audio Source. Right click that link and select save target as. You can chose the location and then save them to your computer. You can then load the files from the computer onto your MP3 listening device of choice.