
First, make sure you have iTunes installed. This is a free application.
Then browse to http://itunes.psu.edu and click on the "Open Penn State on iTunesU" button.
Since iTunesU exists within the iTunes application, your browser must be instructed to launch iTunes and open the correct URL for Penn State's content.
For more information, see: http://digitalcommons.psu.edu/node/3432