Download podcasts to PC and then transfer to Nokia E71

"Use a file synchronizer tool:

Run any old podcatcher software which will regularly download new podcast episodes to your computer.
Whenever you want to synchronize the downloaded podcasts onto your phone, attach the phone in USB mass storage mode and use Unison (or another similar tool) to synchronize the downloaded podcasts folder with a folder on the phone.

While I run this under Linux (I use a command-line program called hpodder for downloading podcasts) the essential step of two-way synchronizing the downloaded podcasts between the computer and the phone should work independently of platform. Unison seems to be available for Windows, and I am sure there are other equivalent programs out there.

I like the following things about this setup:

I can manage the downloaded episodes both on my computer and on my phone. I can for example delete listened podcasts on the phone, and at the same time prune the collection of downloaded podcasts on the computer by deleting old podcasts to keep the episode collection small enough to fit on the memory card on the phone.
Since the downloaded episodes are just stored in a directory hierarchy on my computer, I can automatize some tasks on them like re-encoding non-supported audio/video formats to supported ones (or re-encoding with a smaller bitrate so that more files will fit on the memory card).
This works nicely as part of a setup where I actually synchronize all files on the phone including photos, videos, documents, and not just podcasts. Among things which get synchronized are the .m3u playlists of the music player on the phone -- by running a script on the computer I can remove automatically expired podcasts from my playlists or maintain some playlists automatically, like generating a playlist of new episodes of my favorite podcasts."

Have you tried Winamp? It has a Podcasting service and it can sync with my Nokia N95 (don't know if it does with the E71, but you could give a try)...

If you have Nokia PC Suite installed on your system, it should allow you to transfer the MP3 files over to either your memory card or the phone memory via the File Manager menu. AFAIK, you should also have this available on Windows Explorer.