@steve2 - Yeah, if you're not a podcast person, it can seem daunting, but I'll give you an easy way and the more complicated way (that opens up a host of possibilities for you) below.
The easy way to listen is to go here:
http://shunnedpodcast.com/episode-12-mark-is-shunned-by-jehovahs-witnesses/
Just click play on the player. That's just as easy as Youtube. That's a direct link to pale.emperor's episode.
Like I said in the original post, you can go to http://shunnedpodcast.com/episodes/ and all of them are right there with a player. Again, just click play and listen to any of them.
The more complicated way, but the way that people typically listen to podcast, is to get a podcast app. The biggies are Apple and Google, but I use Podbean, and my wife uses Podcast Republic (actually probably my favorite). You download the app, search for podcasts (in my case you'd search for shunned), and then click subscribe. Download the ones you want to listen to, and from then on any new ones will automatically download to your device.
If you do this a whole new world will open up to you. Now, audio isn't for everyone, just like video on Youtube isn't. For me, I work and clean houses and can listen all day while I work. In fact, I'd go crazy if I didn't have something to listen to other than the noise in my head. I would never be able to consume content from Youtube, but I can download and listen to audio all day. There are podcasts on just about anything you can imagine.
Let me know if you have any questions or problems with anything. I'm happy to help.