To begin using the Podcast feature you must configure your space to allow it.
Now your customers when they select the "Podcast Link" in the left sidebar will be directed to their media player and all the media files in that space that they have access to will be available to them in a list to play/download.
Note: The files they have access to will only be the ones that are added to the space via the Media File section in a content box. Not the ones you link to. And the only files the customer will see when they access the podcast link are the ones that you have given them access to through publishing or auto-publishing pages.