I use www.mininova.org to fin things I want to download, but as webbo has already pointed out, you will need what is know as a 'client' (such as bittorrent) to download torrent files. I have used may different clients, including bittorrent , but I find utorrent to be the best.
you can download it free from here:
http://www.utorrent.com/download.php
Lost is aired in the US on Thursday evenings, so they are only a few days ahead of the UK.Maybe you do not have Sky 1.