If you bought a desktop software license at Costco, then when you go to the software retrieval site and select the product you bought, then download the software installation file (it will first ask you to choose Windows or Mac). Then when you run the installation file, during installation and activation it will ask you to enter the license code.
See this:
FAQ: How do I get started with desktop TurboTax?
https://ttlc.intuit.com/turbotax-support/en-us/help-article/license-information/install-turbotax-cd-...
