The Bookmark option appears on on-demand shows, it allows you to save shows you liked to you list (see "What is My List" article [link attached])
Once on a show you can go through the latest episodes of the show by scrolling down, once you click on an episode, you will be transported to the episode's page where you can click on Bookmark:
Once the episode is bookmarked, you can access to it very easily through "My List":
