Ironically enough, I've already developed this exact application and have been using it for months now. I recently posted this as a free download @ http://www.nuparadigm.com/Products/Toys/
Good use of BITS. Just tried your app.
Unfortunately, like many of the podcast downloaders, there's no support for proxy server authentication.
Another feature would be to store individual authentication for a feed for sites that require logging in.
....and to make it a really cool MS tool: write it as a plug-in for MS Media Player (is this possible?).