The Digital Downloads add-on adds a product type for distributing digital downloads through ExchangeWP.
The Digital Downloads add-on should already be enabled when you activate ExchangeWP.
You do have a setting you can change in it, however. To go to the settings for the Digital Downloads add-on, click the gear symbol next to the Enabled button.
Here you can decide if your customer needs to register and login to make a purchase or if they can make their purchase as a guest.