You will need to be connected to the internet and have a podcast or RSS feed reader installed.
To subscribe the first thing you need to do is add the "feed" of the podcast to your software (or online reader). The feed is where the software will go to each time it wants to check for a new podcast added by HMD.
You will need to copy this feed address and paste it into your podcast software. How you do this will depend on your software, but you should look out for buttons or links that say "Add" or "Subscribe".
Alternatively, you could use the links displayed on the HMD podcast page to automatically subscribe to HMD's podcast via iTunes.