Subscribe to an online streaming media service, like Hulu Plus or Netflix. These services use in-browser media players to stream video like episodes of "Lost." This means that you can't download them to watch later -- you have to be connected to the Internet to watch.
Open iTunes and access the iTunes store. In the search bar, search for "Lost" -- this directs you to where you can download "Lost" either by the episode or by the season. You have the option to buy and permanently download these episodes or rent them for a limited time; in any case, they download directly to your PC.
Buy complete seasons of "Lost" on DVD or rent them. Insert a disc into your PC's DVD drive, and it will automatically launch your PC's media player, giving you the ability to watch DVDs on your computer.