TV production companies have to pay a licensing fee for the rights to play any recognizable part of a recorded copyrighted song. That copyright fee has to be renegotiated when the show goes to DVD. According to a 2005 "Wired" article, "Copyrights Keep TV off DVD," this is the reason many music-focused television shows are never released on DVD.
While the legality of distributing television content is somewhat fuzzy, it is generally considered illegal to upload material to the Internet or distribute television content. These rights are reserved for the production companies in charge of the television shows, who may want to upload the material online or release DVDs. Video sites like YouTube frequently have to remove fan uploaded television programming because the copyright owner objected.
While it is perfectly acceptable to view television programming online or on DVD when it has been uploaded or released by the production company itself, it is illegal to download material uploaded by anyone else. Participating in watching illegally obtained material is considered copyright infringement as well.