A really dumb first-time podcast user question

I have never, ever, played a podcast from anywhere. I can see that I can download stuff from the BBC website, but what I thought I should be able to do was see a list of stuff in LMS and select and play from there.

I have the podcast plugin and settings page, but no idea what to put in it for a set of BBC programmes.

I've searched, but everything I've found so far assumes basic knowledge that I simply don't have. Can someone give me a clue?