I have a Sansa Disk MP3 Player. Is there a way to get the files from iTunes onto Windows Media Player?
Your question title and question content asks for different things. The title asks on how to "download from the internet and then move to WMP and from there to the MP3 player", and the body of the question asks "How do I move my files from itunes to WMP". To an apple user they might seem the same, but they are not.
You don't need Windows Media Player to act as a man-in-the-middle, you can plug the MP3 player in your computer via USB, access it as a normal folder and drag the MP3 files to the music folder, and they will play as normal audio files.
You seem to come from the Apple world, so keep in mind that features such as keeping track of episodes heard, or resuming playback to where you previously stopped in an episode, are not guaranteed to work in a generic MP3 player.
As to how can you get the files from iTunes, I recommend you either use a feed / rss reader to subscribe to the podcast feed, or download the mp3 files directly from the original website.