When a customer purchases a product requiring digital delivery, for example a download (see: How to sell downloads through Events and Galleries collections), the confirmation email sent will contain the links to download the files to the customer's computer. The email will have instructions on how to download the files, explaining to click the link in red and save the file.
If your customer has not received the email containing the download links you can resend the order confirmation email, either from the copy we send to you with the subject line containing "your copy of email sent to customer", or by going to Control Panel > Finance > Sales History, click the order ID number, scroll to the bottom of the page and selecting the option "resend order confirmation emails". From this page you can send a copy of the order email to you (the photographer) to your customer, a copy of the email sent (to you) from you to your customer (containing download links) or all of them.
You can check on all downloaded files from your Control Panel > Tools > Download History