Episodes are the content of a show. For example, a morning news show may create a new episode every weekday morning. Those episodes are then included in a show. Sources like iTunes and Stitcher receive the episode's information in one or more channels, then make those episodes available to users.
If you have the appropriate permissions, you can view and edit episodes and create new episodes for a show from its show detail page. You can find a show's detail page by going to Manage Content > Shows/Episodes and clicking the name of the show.
For more information, see: