I've had that too a couple of times. But it probably says you can't download them because the FILE IS TO BIG. You should check the phone's settings to see whether you have "only download podcasts over WiFi" checked or not.
Another possible reason is that it's an .mp4 Audio file and unfortunately WP7 doesn't play .mp4 Audio files. Only mp4 Video.
One more I can think of is that if it's over 3g there may not be enough signal. Are you actually downloading them or streaming them? If downloading it may not have downloaded correctly and the file may become corrupt.
Hope that helps. (nice name by the way)
Sent from my HD7 using Board Express