This brings up a challenge, and it all comes down to what you want to accomplish.
1. Do you want each blog post to be imported and displayed as separate blog posts on your site as well?
2. Do you just want these episodes to appear on one page with only titles and a player?
3. Do you want both of the above?
If you just want option 1, there are plugins that can import feeds on a regular basis, basically your blog becomes a mirror of the source blog. I will warn you though, this will come at a cost for not only your site, but whomever site you’re importing as well. This will negatively impact SEO, search engines do not like duplicate data on different sites, they will devalue what ever that data is.
If you just want the 3rd option and you don’t need a player, feed2js comes to mind as a simple solution.