Hi
I'm new also but will try to answer some of your questions.
"Simply click the button, and save the file to your computer."
What button is that? Save what file, to where on my computer, and how? I think they mean 'just save the file in whatever program you saved the sound file in". Some programs won't ask you to save the file; they'll just pick a place like "MyMusic" and drop it in there. It doesn't matter in the least where on your computer the file is saved as long as you can find it.
"Transfer this file to your web server and your Podcast is complete."
What web server? My blog website? Yes your blog website if that's where you can upload files.
What's an absolute path? An absolute path is just a fancy way to say 'the file you're linking to'.
If you upload a soundfile to your blog the address of the soundfile would be "http://www.yourblog.com/soundfile.mp3"
I hope this helps