Hi
I am assuming you wish to add this link into a post. Go into the post in the editor and enter your post content. using my example above, include the words download my podcast wherever you want the link to appear. Use your own phrase not mine.
Then highlight those words by dragging your mouse. When you have them highlighted, on the WordPress editor toolbar is a link button. Its icon is the link of a chain. Click it.
Type or paste the file's URL in the box that says Link URL - in my example above /wp-content/media/mymp3.mp3 Basically that's all you need to do - clik insert and the link will be created for you. Save the page and check your creation on the web. What will happen when someone clicks the link depends on how their browser is configured to handle mp3 files. They might be prompted to download, or something like Quicktime might open up to play the file. Its also possible to put the links in the sidebar, but putting them in a post (or page) is easier, so start there.
And don't feel badly about not knowing where to begin - we all started there once.
If I haven't answered your question to your satisfaction ask further questions.
Good luck!