Intro: How podcasting works (howstuffworks.com)
Basic steps: How to Create a Podcast in 10 Easy Steps
How to Create Your Own Podcast – A Step-by-Step Tutorial
To use FeedBurner to link your blog to iTunes and other services, start with their helpful Feed 101 guide.
And just in case you want more How-to materials, I recommend How To: Survive in Tomorrow’s Online Entertainment Industry (via Mashable).