Roman Weapons is Episode 6 of Season 2. It aired on August 17th, 2003. Here's the synopsis from TV.com:
Conquest is a documentary show by the History Channel, which demonstrates the technologies and tactics used by conquering armies over the centuries. In Roman Weapons, the Conquest team uses detailed replicas of the weapons used by the Ancient Romans, along with re-enactments, to show how the Romans achieved their victories.