I've had a few podcasters who have music podcasts ask me about making money with a music podcast. The easiest way to make money with a music podcast is through affiliate marketing. Affiliate marketing in a nutshell is online commission sales. You sign up as an affiliate and apply to a program. Once approved you get a special link that identifies that this visitor came from you. If they purchase you get a piece of the sale.
Here are some sites you might want to look into:
iTunes Affiliate Program
CDBaby Affiliate program
If you are playing indie music on your show, check out http://partners.cdbaby.com where every time an album is sold you make $1
Amazon Affiliate Program
You can join the Amazon Associates program and earn a commission on everything they sell (including CDs, and downloads).
When you announce an artist on your podcast simply state, “There are links to the artist at our website.” By directing people to your website (instead of the artist) you have a much better chance of having someone click your affiliate link.