matleouf, I’m currently looking at the Linux version of gPodder, but I’m assuming that it is similar to your Windows version. In my version, you need to navigate thus:
Podcasts > Preferences > Device
Then tell it what type of device you have and which folder to sync to.
You will also see options there for what to do after synchronisation. I choose to “delete episode from gPodder” after synchronisation.