How do I subscribe to a podcast?

Right and go to copy shortcut. Depending on your choice of Podcast program will be where you paste the URL you just copied to subscribe.

I just want to listen to the archive, not download it.

You should just click on the mp3 link at the station's archive page. Your choice of mp3 player (windows media, iTunes, Real, WinAmp, etc) will have settings to stream the mp3 archive instead of downloading it. If your program is not configured correctly, the program may require you to download the file first.