I want to let you know that I sometimes see this message too. It's not just you.
If you see this error message on your PSP (related to a downloaded podcast file), it simply means that the podcast file is either corrupted or in a format that is not supported by the PSP.
Try downloading the podcast a 2nd time, and if it is still 'Unsupported Data', then the podcaster has probably provided their podcast in a format that is not supported by the PSP. They sometimes change the settings at their end and suddenly their podcasts become 'Unsupported Data'.
Try going to the website directly and check to see if they offer different feeds for different platforms (like the PSP). If they don't offer a alternative PSP-compatible feed, then you might want to find the PodCaster's contact e-mail address and let them know that their podcast as of a certain date isn't working with PSPs.
There's enough PSPs that they would probably want to know about such things.
Here's how it works...
You have to follow the links from within your PSP browser, and when you find a podcast you want to try, then you can listen live (streaming on-demand podcast), or you can subscribe (and the PSP can be programmed to download it automatically). Look for the RSS or XML chicklet button and click on it (X).