Then, if I didn't suggest this yet, try the following:

When the file starts to play, issue the command control s.  If my recollection is correct, a save as dialog will come up and you would be able to save the file as you would in any standard save as dialog.  I believe that when you start to save the file, a dialog opens that shows things like the estimated time to completion.

If that doesn't work, the file probably isn't being presented in a way that it can be saved. 

Another option is to record the file as it plays.  You can let us know if you want to do that.

Gene

But when you press enter on the link, what happens?  Does it play In Media Player?  I believe someone described how to download a file such as a podcast playing in Windows Media Player.  But before that method is of any use to you, does the file open in the player?

Gene

How are you getting to the podcast in the first place?  Is it playing in Media Player?

Gene