Pretty self explanatory. I'm on the podcast page in my Library, and the Subscribe button is greyed out, and hence I can't add podcasts from a link.
Snow Leopard 10.6.1 iTunes 9
I can subscribe to podcasts from the Store
That Subscribe button is only active for podcasts already in the podcast playlist that you haven't subscribed to. When you choose a podcast in the podcast playlist that you've already subscribed to, the button changes to "Unsubscribe" and becomes active.
If you unsubscribe from a podcast it changes to "Subscribe" and allows you to subscribe to that podcast again.
When I need to subscribe to a podcast from a link I use:
Advanced > Subscribe to Podcast...
You can also add a podcast from a link by dragging the podcast's URL into the podcast playlist.
And now I see you mentioned Snow Leopard. I'm on Vista, but it looks like that command is still located in the Advanced menu on OS X.
I had the same issue, it turns out that podcasts were set to disabled in the Parental Control section of Preferences.
For me, the "subscribe" and "get episode" buttons were grayed out because I had previously chosen to not show Podcasts in my Library. When I chose to show them in Preferences, the buttons were now active. (Edit > Preferences > [General Tab] Show > check Podcasts).
Windows XP iTunes 9.0.0.70