The Download program is EXACTLY the same Desktop program as the CD. You buy it the same way directly from Turbo Tax or in stores like Costco. When you installed the CD you still had to go online to update it. It's only the method you use to install it. Even when I bought the CD I used the download method to install it. Don't confuse the Desktop installed program with the Online web version. They are not the same.
You can burn the installation file to a CD or save to a usb flash drive. But since you now have to log into an Intuit Account all your downloads and licenses are listed there (even if you bought it from somewhere else) so if you need to download to install it again or install on another computer, even on the other operating system (Windows, Mac).