Kjos, that's because you have the download version. I bought the disk version from Best Buy, and apparently, it's a hassle to get this one episode, as Steam doesn't recognize me as owning the game. I would prefer to download from TellTale, but I don't even see the option for doing that. Here is a link that shows others are having the same problem -
http://www.telltalegames.com/forums/showthread.php?t=47312. I may see if I can get a copy of my receipt from Best Buy at some point, but honestly I am annoyed they would make me go through the hassle of doing so, not to mention all the pictures and codes they require just to get an hour long episode.
By the way, here are a couple of videos of an LP just in case anyone else is having the same problem I am -
http://www.youtube.com/watch?v=mrG6ciEDLQI,
http://www.youtube.com/watch?v=QvZ0u2gmlSo. It's not as good as playing the episode of course, but it's better than nothing.