Hi,
Most sermons downloaded from Sermon Index will not show up with their proper title in iTunes because the metadata, things like the title, author, year of publication, were not added when the file was encoded and posted on the Sermon Index servers.
May I ask what you are running iTunes on? Mac/PC/Linux?
There are slight variations in how each one operates. When you download a sermon it will by default given a name with 'SID' and a four digit number. If you want the sermon to show up correctly in iTunes you will need to keep track of which is which and change the title of the file before you add it to iTunes otherwise the sermon will be added to your iTunes library with the name it was downloaded as.
The reason the sermon, "The God who Devastates" by Art Katz, synced to your iPod is because iTunes is setup to automatically check podcasts that you have subscribed to at least once a week and download the most recent one. The default setting for syncing podcasts with an iPod is to sync the most recent one.