I subscribe to the Bloomberg on the Economy and Bloomberg Surveillance podcasts. Both of these podcasts tend to release multiple episodes at once, so my iTunes only gets the most recent episode when it starts up. Then when I connect my iPhone, I only get that most recent episode synced, when I'd really like to get all of the episodes. As such, I miss many of the episodes. The only way I can figure to solve the problem is to start iTunes each morning, then go into each podcast and select Get all to make sure I've got all the episodes, then reconnect my iPhone. There must be a better way.
If you click on the settings button within the podcast section of iTunes, you can specify the behaviour when it detects new podcasts are available. It sounds like you have it set to the "Download the most recent one" option, when you want "Download all". Once they're downloaded, that should also solve the issue of syncing as well.
You can tell iTunes to sync and keep any number of the most recent podcasts.
For example, I usually tell it to keep the most recent 2, because if i get more than 2 behind, it's too old for me.
There are many settings you can set with syncing that should do this for you. When you plug your iPhone in, click on it on the left hand menu, then go to Podcast sync options.
I'm not sure if these settings are also available in iTunes for Windows. But this is how I tweaked the settings on a Mac:
Download multiple items:
Syncing all unplayed podcasts with your iPod/iPhone:
Hope this works on your version of iTunes too (I'm using v9 on Snow Leopard).