No, they are available in MP3 format. You can download them to your computer and play them with Windows Media Player, iTunes or any other program that plays MP3 files.
The best way is through iTunes.
Once you subscribe to the podcasts, make sure you are on the Podcasts page in iTunes. An arrow will be pointing at the podcast to which you subscribed. Click the arrow (a small gray triangle) to open the archived list of podcasts. Click the GET button next to the podcasts you want to download.
Your Crossfade Playback could be active. This will fade the ending of the current podcast and fade into the beginning of the next. To turn it off, click Settings on your Podcasts page. Select the Playback tab. Remove the check next to Crossfade Playback and click OK to save the changes.