wp plugin support selfhosting?

I’m wanting to run a podcast, but I do NOT want that podcast to have the url http://some-other-domain.com/my_podcast I want http://mydomain.com/my_podcast

so I looked for wordpress plugins and after reading more than a few tutorials I installed blubrry, where is the option to host my podcast on my webhost?

what’s the point of having a plugin if the podcast is hosted on http://blubrry.com or http://any-host-that-is-NOT-my-domain.com ?

can anyone confirm, one way or another if this plugin facilitates the podcast be emanating from my domain?
thanks

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