I am getting this same problem. Not sure if this matters or not, but I did notice when I view my downloads from the "Find My Order" page, the filename for Episode 1 is "Sam_And_Max_Culture_Shock_Setup.exe" and the filename for episode 2 is "SamAndMax_SituationComedy_Setup_offer.exe". Not sure if that 'offer' at the end means it's pointing to the wrong file or what. I would assume the offer file is like the demo, but I purchased the whole season.
Btw, the link from the email is:
http://www.telltalegames.com/preorde...batch=########
I blanked out the numbers in case it was specific to my purchased file.
The link as viewed from "Find my order" page is:
http://drh.digitalriver.com/activationserver/servlet/DownloadServlet?AuthPack=<GIANT HEXADECIMAL NUMBER>