Podcasting is a method of delivering audio content on the web, where the user can self-subscribe to a media source, and automatically get new media files whenever the source site places new media online. Let's say you have a promotional piece, or sermon that is a new media item. Once you load it into your podcast area of your site, all of your visitors who have subscribed to your podcast feed will automatically find your media file available on their computer or media player.
In order to have an audio podcast from a different web site display and automatically update on your web site, you will need to add the channel either to the Media Player or your Podcasting module.