I've figured it out now, think I was just being a bit thick.
You can simply add your own RSS Feed URL in the Zune software to your own favourite PodCast addresses, in this case the URL was http://feeds.feedburner.com/TheMediaCenterShowPodcast?format=xml for the Media Center Show.
The default download location is C:\Users\Username\Music\Zune\PodCasts
The Media Center Show is very good to listen to!
Stu
aka C-Dub
The Windows Media Center BlogTips Tricks & News!