へ is a particle used when describing a place that someone or something is ‘moving toward’, or ‘in contact with’. In many cases, the particles に and へ are interchangeable, but there is a slight difference in meaning. へ focuses more on the distance/effort required to get between (A) and (B), while に focuses more on the connection between (A) and (B). へ always comes after the noun signifying the destination.

• 私（わたし）はフランスへ行（い）く。
  I will go to France.
• 明日（あした）東京（とうきょう）に行（い）く。
  I will go to Tokyo tomorrow.

In these examples, while they may seem the same at first glance, へ shows that there is a space between (A) and (B), while に puts the emphasis solely on the destination. This is why common expressions such as ‘city/country name へようこそ’ sound very polite. It is like saying ‘Welcome, and we acknowledge your journey/effort to get here’.

• 大阪（おおさか）へようこそ！
  Welcome to Osaka!
• BPRニュースへようこそ。
  Welcome to BPR News.

In the TV-show example, this commonly means ‘thank you for your effort to watch this particular show, out of all the ones you could have chosen’.