When you buy an album and the payment has been accepted, you will see buttons to download your goods. One of the buttons is for the PDF Booklet, containing all the information about the recording. The other button(s) let(s) you download the audio files.
The audio files are normally contained in a zipped folder, that you download to your computer, or other device. Very large files (DXD and DSD) may be stored in one file per track.
When the file is downloaded, you will need to unzip the folder. On a Windows device, this is done by right-clicking on the zipped folder and choose “Extract All” from the context menu. When the folder is unzipped, you can move the files to a suitable location, or you can select the album e.g. with iTunes or any other media software of your choice.