You can download the audio file for any individual episode by first…
- clicking on its Download this episode link while holding the Control key (most Mac OS browsers) or
- clicking on its Download this episode link while holding the Alt key (most Windows browsers) or
- right-clicking on its Download this episode link
…then, from the menu that appears, select an option like “Download Linked File” or “Save Link.” The actual name of the option varies from browser to browser.
You can also download individual episodes through iTunes.