I'm bumping this 2 year old issue because it still exists.
I'm on 6mb DSL, latest versions of everything.
I think the best way to solve this is to have an "on-by-default" option that downloads the entire podcast first before playing it. Users can opt-out of this feature in the podcast directory options screen.
In the meantime, I have to use another podcast client taking me out of my precious winamp
Hope this is resolved soon,