".torrent" files, also known as "BitTorrent" files require a special program in order to download them.
BitTorrent is a program that allows you to download large files. However, in return, you have to provide other users with your bandwidth (meaning you're uploading and downloading at the same time).
You can download the BitTorrent program from
http://bitconjurer.org/BitTorrent/ It is free, but the author does ask that you give him a donation if you like the program.
While it takes longer to download files via BitTorrent, the person/website hosting the file saves bandwidth (which costs money).
BitTorrent allows you to resume download, meaning if for some reason you stop the download in the middle, you can start from where you left off. Just remember to save it over the old file.
After you have finished using BitTorrent, it is polite to leave the program open until you have uploaded the same amount you have downloading. Leaving it open longer will help other people download the episode.
If you have any questions, feel free to post here or e-mail me.