Talking about a "TV show" can be confusing. "A show" might mean the entire continuing series, or just one 1-hour or 30-minute part of the series. "Episode" is a more specific word for one part of a show that airs on a single day. Here are some other specific words for TV shows:

• a series is the entire show, from beginning to end. (However, in Britain the word "series" is used to mean what we call a "season" in America.)
• a season is one group of episodes that are shown in order around the same time. There's usually one season per year.

So each series has one or more seasons. Each season has several episodes (usually 10-20).