Here's a step by step procedure on how to transfer the radio shows to your iPod or iPhone using iTunes on a Apple Macintosh computer:
Plug in the iPod to your computer (using the USB connector)
Insert the MP3 CD-ROM into your computer
Start the program, iTunes (if it hasn't already opened automatically)
In iTunes, create a new playlist (File > New Playlist) and give it a name - the playlist will appear in the left column under "playlists"
Click once on the CD, select the shows you want (or select all with apple-A) and drag them to that playlist
When the shows are finished importing, click on the "eject" button to the right of the CD
Click once on your iPod (on the left side of iTunes)
Select the menu Select File > Sync iPod (if the shows are not loading on to the iPod, see the help files on iTunes (under Help > iTunes Help) for instructions on how to change the preferences for loading some or all songs on to the iPod)
Your iPod should now sync itself and the radio shows are available for away from the computer listening!