Sadly, Feedburner doesn't provide a big zip file of all the episodes, which is understandable, since it would be huge.
I could hunt around for a browser extension that does a mass download, but this is quicker, safer and way more fun:
Save the above file to your 'history_of_rome' directory as 'hist.xml'
Preferably overnight(if your 'broadband' comes via the phone line...), in the bash shell do this:
$ grep -e "enclosure url=" hist.xml | sed -e 's/[^"]*"//' -e 's/".*//' | xargs wget
And hopefully, if all goes well, in the morning you'll have this:
FINISHED --2015-05-05 02:06:31--
Total wall clock time: 2h 26m 38s
Downloaded: 191 files, 2.0G in 2h 24m 49s (240 KB/s)
 And, after all this, I found that the Apple actually wasn't broken, but the USB port I plugged in for a recharge was. ;-D