The ONLINE and DOWNLOADED/CD versions are totally separate programs .... you cannot use them both.  So if you started in the ONLINE program and want to transfer that to the CD version to complete the return you can ... BUY the download FIRST then open the .tax2019 file. 

To  continue in the desktop version see this…….
https://ttlc.intuit.com/questions/1901476-how-do-i-switch-from-turbotax-online-to-the-turbotax-softw... 

You can buy the Desktop CD/Download program here

https://turbotax.intuit.com/personal-taxes/cd-download/

Yes you can transfer from 2018 online version.  

If you used the online version last year and need to transfer your info to this year's Desktop version there are 2 ways depending on what you have.

1.  If you saved the actual .tax2018 file (not just the pdf file) to your computer before online was shut down in Oct. then start a new return  and the very first thing you do is Transfer from .tax file.  You can only transfer at the very beginning.

2.  If you didn't save the .tax  file to your computer or lost it,  there is a way to do it by starting your return in the Online version, transfer to that and then continue in the desktop version.  You won't have to pay for Online.   See this…..

https://ttlc.intuit.com/questions/1901476-how-do-i-switch-from-turbotax-online-to-the-turbotax-softw...

Here's how to transfer last year's return to Windows…..

https://ttlc.intuit.com/questions/1901506-transfer-last-year-s-return-to-2018-turbotax-for-windows