The word "TV show" can be confusing, because it can mean the entire continuing series, or just one 1-hour or 30-minute part of the series. The word "episode" is a more specific way to refer to and count the individual parts of a show. Here are some other specific words for TV shows:

• a season is one group of episodes that are shown in order around the same time. There's usually one season per year.
• 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.
• the premiere of a show is the first episode. Each series has a series premiere and each season has a season premiere.
• the finale is the last episode. Just like "premiere", there is a season finale, which is the last episode of a season. The series finale is the last episode of a TV show before it goes off the air.