Moses,
Yes, you need to d/l a torrent client such as utorrent (which is what I use/recommend). You then go to a site that hosts a small file called a torrent which the torrent client uses to d/l the file.
I like
www.tvtorrent.info as it's a simple, clean design that has most popular tv shows. It only has the latest 2 years of Doctor Who indexed but that's fine for me. It's also proved useful for Top Gear (see also
www.finalgear.com) and the UK Apprentice series (waaay better than the US version).