There are a lot of people overreacting on the Zune lack of PodCasting. The solution is simple. You use the browser to download the video to your computer. When you do this you can simply sync it to your Zune. If you have enabled the automatic import feature for Videos you just have to save the file to the "My Videos" folder. The rest is Zune's job. But the manual way is also trivial. 

Check enjoy video tutorial on Zune.net. Then try your first Zune podcast on MSNBC.

(If you use a PodCast software, download the .xml file with the Zune icon on it and then save the video to "My Videos")