Maybe my google-fu is weak, or maybe I just don't know the terms I'm looking for or it doesn't exist.

I want an application that when I'm connected to the internet will check various podcasts for a new podcast and download it to a memory card (external one)

This may also be that I'm new to listening to podcasts... never had something to listen to them on before.

Is there anything like this out there? What's the easiest way to install it?