When the HBO series The Sopranos reached episode five on February 7, viewers watched mobster Tony Soprano and his daughter do the Colby-Bates-Bowdoin college tour, with almost all of the action set in "Waterville" (though the credits say "Filmed at Silvercup Studios and on location in New Jersey"). While daughter Meadow visits "Colby," Tony identifies, stalks and eventually strangles a former mobster who escaped to Maine under the witness protection program.     The episode begins as the Sopranos prepare to leave Bates. The daughter gives Bates's academics and study-abroad program good reviews but says, "Socially I don't know. This one girl told me there's a saying that `Bates is the world's most expensive form of contraception.'" The pair visits Bowdoin briefly before they end up back in their dysfunctional household in Jersey for the show's conclusion.     HBO's director of corporate affairs, Henry Gomez, says Colby doesn't reappear in subsequent episodes and that he knows of no alumni connection among the show's writers. "I suspect they asked, `Where in the Northeast would kids want to go to school?'" he said. "We're not aware of anyone [working on the show] who was at Colby." Dates for the first rerun of this episode had not been announced at press time.