I makes a little sense, yes
The mentioned "MPlayer plug in" is a browser plug-in for the firefox (or mozilla) web-browser - allowing you to use online content such as embedded audio or video.
What I know about podcasts is: they can come in different formats. Some are just plain .mp3 or .ogg files (.m4a and .wma is also no problem with mplayer) which you can play straight away.
Then I have seen a lot of podcasts only readable/playable through some proprietary player-software because the content is scrambled. ("audible" was one of them I think - I dropped them straight away)
In any case - the purpose of a podcast is that you download it - to hear it whenever you want to.
So: opening it with mplayer-plug-in does not make sense - you will play it, but not save it.
There is always a way to make your browser download that links target instead of playing it back - look at the right-click-menu ...
Alternatively: post a link to the place which gives you trouble.