Telling iTunes that a particular audio or video file that you've downloaded is a podcasts is, with iTunes 9, simply a matter of selecting the file, using *Get Info* and changing the *Media Kind* to
Podcast on the
Options tab.
Linking it to other podcasts from the same subscription is altogether tricker, though it can be done. Download and install
Mp3Tag. Use it to explore the Extended tags of your other podcasts from the same series. As far as I can tell the
ITUNESPODCASTURL field is used to link different podcast from the same subscription (as opposed to fields like Album & Album Artist etc.) and
ITUNESPODCASTID determines the order. Everything else seems to be optional. Backup your files, tweak a few a tags then highlight the changed files in turn in iTunes with the image pane set to *Selected item*. This is marginally quicker for small numbers of files than using select, Get Info, OK to get iTunes to refresh its knowledge of the tags.
tt2