Subscribing to the podcast with either iTunes or another podcatcher means the next episode in the channel will be downloaded automatically or you will be notified when the next episode is available (depending on your podcatcher client).
If you don't want to subscribe to a podcast, you can listen to the episode in your browser (requires flash).
If you have flash installed, you will see a play icon adjacent to an episode that can be played. Pressing the icon will cause the episode to play. The icon then turns into a stop button. Pressing it will stop playback.
Leaving the page will also cause playback to stop.
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 the page you are on has anything that you can subscribe to on it, the feed icon will be on the left under the menus.