With iTunes 4.9 and its Podcast feature, Apple also introduced two new URL types: itpc:// and pcast://. So you can subscribe, with one click, to a podcast RSS feed formatted with one of those two URL types.
I also tried this on Windows XP (under Virtual PC), but it seems not to work there.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20050702074138201