Some weblogs and news feeds want to provide you with more than just ASCII text or HTML formatted articles. A weblog author might want to record his daily experiences and publish them as audio data (often MP3) and of course make this available in the weblog's feed too. This is done by adding enclosures to feed items. Adding an enclosure means adding an URL to an item which the feed reader application can download and play with an appropriate media player.
Feeds with audio content are often called podcasts. The act of publishing such content is called podcasting. The Wikipedia page about podcasting is a good start to learn more about this publishing method.
Including audio content might be the most common use case for enclosures but there are other feeds around containing images, torrents or videos. Every data format is thinkable.
Per default Liferea does not automatically download enclosures. But you can enable auto-downloading for each feed separately. If a new enclosure is found Liferea will then start a download using the configured download method. All downloaded files will be stored into the configured download directory. After viewing the contents you have to delete them manually.
Of course you can also manually download enclosures. To do so open the item with the enclosure and click the arrow to open the enclosure context menu. There are two option. The first one downloads and launches the file while the second option save the file into a specified directory.
After downloading a file Liferea will try to launch the file according to it's MIME type or file extension. The application used to view or play the downloaded file can be configured in the program preferences. Note that it depends on the feed whether you can use MIME types to associate launcher programs or if you must rely on the file extension to do this.