I'm trying to subscribe to a podcast in Windows Media Player 10, but I did not find any options to do that. If Windows Media Player does not provide that option please suggest any other players (iTunes on Windows sucks).
It isn't possible. Media player doesn't support podcasts. Get the Zune player instead. It has great podcast support. You don't need a Zune to use it either.
I use iTunes personally, works well on Windows and OS X.
I know you stated that you dislike iTunes on Windows, but I like it, regardless of platform.
You should just give it a go, especially if you have not used it recently. iTunes for Windows has really been polished up to make it harder, better, faster, stronger.
iTunes also has a massive repository of Podcasts in it's iTunes Online Music Store. I suggest you give it a look.