Gotcha.
These are links to pages with video embedded on them. PowerPress' "Media URL" field wants a specific URL to a media file, where the URL ends with the media's file extension. e.g.
http://www.example.com/path/to/media.mp3.
This directly linked media file is what is placed in your podcast feeds created by PowerPress. The feeds are what podcatchers such as iTunes use to know what media file to download and sync to their iPods/iPhones.
To target the widest range of devices, your media needs to be either audio mpeg3 (.mp3) or video H.264 (.mp4 / .m4v).
If you just want your embed from ustream.tv to appear in your blog pages (not as a podcast consumable via your feeds), then just put these links in the middle of your blog posts and WordPress by default should be able to handle them.