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The site will broadcast a message about the new episodes to any program that accepts RSS feeds. As an example, you can set Firefox to accept the RSS feed as a "live bookmark" which shows up as a folder in the bookmarks menu. Inside the folder will be links to the most recent episodes like so:
The list will update whenever the RSS feed updates, so you don't have to check the site to see if the ep is released or not.
Additionally, some Bittorrent clients apparently can use the RSS feed to automatically download each new episode as it's released.