The South Park goes in the same folder as the Family Guy episodes. Basically the THM file is a thumbnail preview for the file browser. So the file will play fine, you just won't have a pretty image next to the movie's name.

As far as the Family Guy Movie, it sounds as though it is an incomplete download. Maybe you started the download, had a connection break, and are now left with an incomplete file- the same thing happened to me. Check the file size; the complete file is ~120MB. If your file isn't that big, try redownloading it.