They should show up individually and also in the "Amazon" folder. Did you purchase online or though the Tivo console? It's VERY slow if you do so though the Tivo, for some reason it's 20 times faster if you login online, go to Amazon, register/link your Tivo and then you can tell it to download from the web browser.
My first movie I bought though Amazon took over 7 hours to download when I didn't know about the speed issue, everything since I have bought or rented I have donw online and it's took less than 30 minutes for HD content.
Should look like this (I'm downloading "Zombieland"):