Available in General -> Interface, the field download url allows you to specify where the episodes can be downloaded. If configured, a column is added in the episode list with a "Download" link. It's simply generated using the URL configured in the download URL field + the name of the show + the name of the episode.
For example, if the download url is set to http://shows.domain.tld/, for the show Firefly the url generated
for the first episode could be http://shows.domain.tld/Firefly/Season%2001/Firefly%20-%201x01%20-%20The%20Train%20Job.mp4
(probably different for you since it depends on your naming convention).
You do need a separate webserver with a vhost configured to make the shows available.
Example configuration if you use apache, assuming your shows are stored in /home/user/shows :