Nathalie, I use Windows Movie Maker 2, which is free and very, very easy to use. It's got all the features you need to make a start.
It used to be available on the Microsoft website, but these days it only comes when you download Service Pack 2, which, I've heard, is a pain in the backside. :p
You'll also need the episodes in .avi or .mpeg format.
Hope this helps!
Kaethel