I just looked up Entrepreneur on Fire in iTunes and there are some plain text URL's in the episode summaries but none of them are clickable from with the iTunes desktop application.
The links are usable however in the iOS Podcasts app but that's just 'cause that's how Apple designed the Podcasts app. As long as your episode summaries have either plain text URL's or actual HTML links, they'll show up as clickable (tappable) in the iOS Podcasts app. To the best of my knowledge, this type of function doesn't exist for any podcast within the iTunes desktop application.