I found myself asking this question when I wanted to find an older James Altucher Podcast interview with Nassim Taleb, author of "Fooled by Randomness", "The Black Swan" and "Antifragile".
It was not showing up in the Podcast feed on iTunes or my iPhone Podcast App. It also didn't show up in a search more broadly on the iTunes Store.
I went to Google, (typed in "James Altucher" "Nassim Taleb" and the word "podcast") and found the exact Podcast on the Stansberry Radio Network site. I then downloaded the Podcast to the desktop on my Mac.
But then there was no easy way to get it from my desktop into the Podcasts app on my iPhone.