Drag the files to iTunes, ctrl-click on the first one, and click Get Info.
In the Get Info box, click on the Sorting tab.
In the Show field, type in "the name of the show".
In the Sort Name field, type in "the name of the show S1E01".
Also, under the Options tab, change the Media Kind to TV Show.
Click the Next button, and add the Show and Sort Names, changing the suffix to S1E02. This will go quite quickly if you copy the name of the show and paste it instead of typing it each time.
THe shows will now be listed under a single heading under TV Shows, on the aTV and in iTunes.
The alternative is to merge the files, which is a more complicated process that I've rarely completed without problems. There are some recent threads on "merge m4v" if you do a search.