After clicking on the "Episode Details" button, click on "Download Episode as iPod audio". You can save this to your PC, or if you are patient you may have navigated through the over 9000 login pages using your phone. Once downloaded to your computer, you can just copy it to your phone.
I use Winamp to play music/podcasts on my phone (HTC Evo). If you drop the episode in your /Music folder on the SD card, it will automagically pick it up and you can play it.