Open up iTunes and connect your Nano to your computer. Wait until iTunes recognizes it, then go to the "podcasts" tab, and from there you can choose which podcasts you want to download (in your case there is only one)

This does assume you have the newest version of iTunes. I don't remember iTunes 6 anymore, but it should be similar.

If you manage your your music manually, you could drag and drop the podcast onto your player through iTunes. However, your iPod won't recognize it as a podcast and you would have to search the player for it, in the same way you would search for a specific album or song.