Does anyone know where I can download tv programmes from the US?

Not without breaking the law no

i guess if you know the TV station , then they may do stuff like ours. BBC do P2P network sharing TV, ITV & C4 too but i'm unsure about sky.
I would be very shocked if they didn't do some sort of service like ours.

Sky Player (http://www.sky.com/player)

i tend to use a program called readon for watching things on my pc it is a free download and with the beta version it allows you to record some of the content.