Many people are having trouble downloading content in iTunes 8. Particularly the new free HD programming in the TV Shows section of the store.
The problem, it seems, is only affecting those that have the “Shopping Cart” feature turned on. If you want to change this to make it possible to download programming all you have to do is go to:
iTunes>Preferences>Store> and select the “Buy and download using 1-Click”

Now, when you go to download content it should begin downloading immediately.
