Very easy once it's set up. Download the show you want (any file type is fine Plex can decode them all), drop it in the Plex video folder, stream it to whatever device you want.
Or skip that part and just download the show and watch it on your computer using
VLC media player I guess (VLC can decode any file type or compression algorithm whereas windows media player cannot without add on codecs installed).
But if you're moderately tech savvy at all it's easy to set up a Plex server and it works perfectly. I'd rather watch shows on my 70 inch tv while sitting on my couch with my surround sound kicking.