Problem with podcasts

[NiCketT]

After downloading podcast-file (RightMouse->DownloadMedia) its stay can  
not be played (DoubleClick has no effect). I enter in podcas-directory  
(RightClick on downloaded file (arrow down icon) -> Open With -> Dolhin)  
and has seen nothing (directory is empty). Whats dose it meen? Where are  
my files???
P.S. I wont to download somefing podcasts to my portable player. Lising  
podcasts online is not a problem.

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The best regards, NiCketT
www.nickett-software.narod.ru