Download the program, install, run (it will auto connect to servers), enter Band Brothers and choose videos in the drop down box underneath, then press search. A list of all available episodes will then be displayed. Double-click on each to d/l.
WMP will play most, if not all, of them - but as I have DivX already installed I don't know for sure if it's required. The best quality and smallest downloads generally do however.
Don't blame me, blame MS - they took out the DivX compatability at beta stage of the latest version of WMP.

Kazaa has a host of other possibilities for those seeking to maximise their internet connection (posh speak for: It's warez monkey heaven...)