How todownload free episodes off of iTunes with iPod?

I was trying to figure out how to download free episodes from my little sisters iPod. She wanted A.N.T farm, and I magically downloaded them. I just don't know how I did it??? Anyway, I would like The Nine Lives of Chole King, but I don't know how to download it. Anyway, is it safe to download them. Are the episodes that say they are free, really free??? And while it is downloading, can you go somewhere eles and play apps??? Will it stop the downloading if you do??? Thanks!!! I really love all of your help!!! BA gets 10 points!!