Bullworker is right.  Ubercart should have a better explanation to the customer of how digital downloads work.  On the latest version of Ubercart's file download module (as of Dec. 6th '07) the email sent to your account has a direct link to download the file.  The administer can also set a limit on the total number of downloads, IP addresses, and a time limit for downloading the file. 

We thought about emailing the file directly to the customer, but you never can tell how spam blockers and file size limits will apply.  In the near future the customer will be able to download the file at the end of checkout, but this is a little complicated for sites which accept checks or batch process payments.

Thanks for trying Ubercart.  We are working hard to make it the best shopping cart software available.

Peace,

Andy