No mention of copyright/licensing on the website or in the FAQ. I don't know anything about this particular site, but many of the TV/music/movie download sites are just fronts for standard peer to peer file-sharing software.
The latest episodes of Lost appear on Gnutella (Limewire) within a couple of days of the first screening in the the US. I downloaded the entire 2006 season. Since out local TV station (RTE) is now only 5 days behind the US, it is hardly worth the effort. As for the legality of downloading it, I'm sure most countries have laws against copying and/or distributing copyright material without permission from the copyright owner. I think TimC is right, it is unlikely that the copyright owner will take action against individual downloaders after the program has been shown on TV.