How do podcast subscriptions work?

i have itunes on my computer and i’m pretty sure i have subscribed to TAL several times. however, i always have to go into the site and get the new episode. shouldn’t subscribing mean it is automatically downloaded when a new podcast is available?

vaguely related tangent: i manage my music in windows media (don’t bother trying to convert me) and the podcasts show up randomly (i can see them in itunes, but they’re not always there in wmp until later). does anyone else have a problem with that?