It’s basically a modern version of a radio show, on demand to listen to whenever you wish, by downloading it first or just streaming.
Wikipedia describes it as:
A podcast or generically netcast, is an episodic series of digital audio or video files which a user can download in order to listen to. It is often available for subscription, so that new episodes are automatically downloaded via web syndication to the user’s own local computer, mobile application, or portable media player.