What is the status of your order? (look under it in http://www.telltalegames.com/mytelltale
Did you have anything else in the order except for the two season DVDs?
Where do you live?
Also just so you know, if the Telltale site says "Your order shipped on <date>! Track your package!" but USPS says "Electronic Shipping Info Received", then the USPS site is lying and it's already on the way. I'm just saying this because many people don't know this and there have been many complaints, and clearly this isn't their fault because the USPS site is misleading.
Oh, also, The Devil's Playhouse's DVD is going to take quite a while before it will exist (and then you will have to order it seperately!) so I would consider other ways of downloading the episodes. If you really can't download from home, can you download from someone else's computer and transfer it to yours?
But of course, if you don't mind waiting then you might as well
After your order has shipped, it should take a few days to a few weeks to arrive