You can connect your Podpage to a whole domain (www.your-domain.com) or to a subdomain (podcast.your-domain.com). What's not possible is putting your Podpage inside a folder of an existing website, like www.mydomain.com/podcast.
That's a technical limitation of how domains work: a domain or subdomain points to one server that hosts the whole site. There's no way to point a single subfolder at a different server, so Podpage can't be embedded in part of another website.
If you already have a main website, a subdomain such as podcast.your-domain.com is the way to go — see Should I use a subdomain or a new domain for my podcast?