Video Conversion Files of podcasts

I am trying to download some podcast from

The options I have are Flash Version/MP4/ and WMV. I downloaded the mp4 version and then tried to convert it using the Sansa media converter. I received an error message to install the correct  codec or that the format isn’t supported. Are any of these formats compatible? What codec do I need, I thought they were automatically installed?

ANY help is appreciated!

Thank YOu