When you download the shows, they're all packaged in .rar files. You need to unzip them in order to play them. Double click on the .rar file and a box with all the music files will come up. At the top of the box, click on the button that says "extract to" and click on wherever you want to save it on your computer. It'll then extract the individual files from the .rar package and you should be able to play them on your media player.
That should work for you. Let us know if for some reason it doesn't.
