How do I subscribe to a podcast channel?

Well, it depends. The most common way is to right-click on the RSS feed icon and select Copy Link Location (or Copy Shortcut in Internet Explorer). Then paste the feed url in your podcatcher or feed aggregator. In iTunes for example, you select the menu item Advanced >> Subscribe to Podcast. Then paste the link you copied into the box that appears.

If you have a podcatcher and your browser properly configured, single clicking on the feed icon may subscribe and open your podcatchter automatically.