This is the procedure from ZuneInsider:

The textor image link must have the following structure:
zune://subscribe/?PodcastTitle=PodcastRSSFeedURL

An example with Wallstrip would be:
zune://subscribe/?wallstrip=http://feeds.feedburner.com/wallstrip

In this example after the "?" the word wallstrip is the Title and the http://feeds.feedburner.com/wallstrip is the Podcast's RSS feed.

When the Zune Software 2 will be released (probably on November 13th, together with the new Zune Players) clicking the following button will be adding Wallstrip Podcast to Zune Software. Currently it only opens the Zune Software but does nothing else:

After clicking the Zune Software will be adding the Podcast in the appropriate category and start downloading the latest episodes. If you Zune Software is on automatic sync mode, after downloading the Podcast will end in your Zune Player. The new feature will be compatible with all the Zune Players: 4, 8, 20 and 80 models.