Since you're posting in the HD DVR forum, you should have a feature that would accomplish your wish ...
Go to MENU > Search, choose Keyword Search.
Enter the following as the search term:
LOST TTITLE CCHANEL NNN
Replace NNN with your ABC Affiliate channel number, and note that there are two leading T's on TTITLE and two leading C's on CCHANEL. Using this, the DVR will restrict its searches to that channel only, and LOST must be in the title.
Click continue and select a category if you desire. Then press SELECT to run the search.
Then choose AUTORECORD and specify FIRST RUN or REPEAT. Save the settings and you will have a new Series Link for LOST on your ABC affiliate. Even if there are no matches in the guide right now, keep watching your TO DO LIST and soon you'll see programs and can change from a ARSL (Auto Record Series Link) to a regular Series Link on the channel.
Good luck!
By the way, I think LOST isn't on until January 20009, so that will be a longer wait!