You should first subscribe to the Podcast using iTunes, then open your iTunes library.
If you go to your Podcasts listing in your iTunes library, you will see a list of the Podcasts you subscribe to. Right-click on the Podcast you want to copy the URL of and select "Copy Podcast URL". This will copy the URL to the RSS feed of the Podcast into your clipboard. You can then paste that link into whatever other application you are using.
