If you've heard about something called BitTorrent and don't know what it is or how to use it, here is great BitTorrent how-to on downloading TV shows. It is a clear, simple article that shows what you need and where to get what you're looking for.
My Tivo has missed a couple of TV shows and I have used BitTorrent in the past to catch the episodes I've missed. It works great, and gets you all caught up on your TV watching.
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(I don't know the legalities of using BitTorrent for TV Shows. Do so at your own risk.)