The Sony Walkman series of MP3 players use flash-based or hard drive storage to hold songs, pictures and video. The connect via a USB cable and mount like standard USB flash drives, making it easy to transfer audio files, including podcasts, directly to the player's storage. Because Walkman players do not feature an Internet connection, you will need to download the podcasts to your computer hard drive first, then transfer them to the player.
Press the "Power" button on your Walkman to turn it on. Plug the USB cable into the Walkman and your computer.
Click the "Start" button, then "Computer" or "My Computer." Double-click the new removable drive.
Click "Start" and "Computer" or "My Computer" again. Navigate to the folder holding your podcast files; if you downloaded them directly from your Internet browser, they're probably on your computer desktop or in your "Downloads" folder.
Click and drag the podcast files from the hard drive folder to the Walkman explorer folder. Wait for the files to copy to the Walkman.
Remove the Walkman from the USB cable. The podcast files will appear in the device library in a minute or two.