I assume that you have set up your iPod to keep all episodes right? If not, go to Edit>preferences. New window should pop up, go to Podcasts and select your preferences ie Keep: (Choose from drop down menus).

To find out where your Podcast has gone or where it is being kept: Highlight Podcast in your Library list, highlight which podcast you want to see. Go to File>Get Info at the bottom of the new window...should tell you where it is located.

Actually - you can do that to any of your files...

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