Digital downloads are available immediately upon purchase. Click on My Account, then on Downloads to see a list of all your download purchases. Then click on the purple icon which has the name of the item to download it to your device.
CD downloads consist of multiple files, one for each track, which are zipped together into a single file for easy downloading. Once the zip file is downloaded you can unzip it by right-clicking on the file name, and the option to unzip the file should appear. Some operating systems will allow the track to play without unzipping, just by clicking on the zip file name and then on the name of the track file. However, if this does not work, you should unzip the file first. If you wish to add the files to iTunes, you must first unzip and then add the tracks to iTunes one at a time; iTunes does not support the importing of the entire zip file.