You lost me at "links to all episodes", I don't see that in the player you linked to. The sidebar of your WordPress blog you linked to has links to all the episodes, most likely a category sidebar widget is doing that, that's built into WordPress. PowerPress already includes players, they should appear in the post you created the podcast episode for.
Some other thoughts:
Go to PowerPress settings > Basic Settings tab, for the option labeled "embed field", check the box then save the changes. Every episode from that point in the episode box you will be able to copy/paste an embed from sites like YouTube, which will take the place of the default PowerPress player.
Check out the plugins others have made to extend PowerPress listed on the FAQ page:
http://wordpress.org/extend/plugins/powerpress/faq/ In particular, Message Flow will allow you to link to all your episodes in a page, so you could put on your home page the message flow plugin shortcode, then folks can stay on your home page and navigate your episodes.