Did you purchase it on your iPod or your computer's iTunes - and the rest of the episodes in the series are currently available in the store ?
For the episodes that are available in the store does the Store > Check For Available Downloads menu option on your computer's iTunes download them, and if not have you tried logging out and back into your account and seeing if they then download and/or if they then show in the Purchased tab in the iTunes store app on your iPod and the Purchased link under Quick Links on the right-hand side of the iTunes store homepage for downloading ?