A digital download is a zip file that includes a CSV, XML, and a PDF file. No physical parts are included.
CSV file is used for a parts list for https://www.lego.com/en-us/pick-and-build/pick-a-brick. Click on the Upload List button and then select Choose your file. Find your downloaded CSV file and upload it. Now you you have the parts that you need from LEGO. NOTE: Some parts might not be avaible on LEGO and will need to be ordered from Bricklink.
XML file is used for a parts list for Bricklink. In order to upload the list, you must first create an account with Bricklink. Once you have created an account, hover over your profile icon and select My Wanted Lists. Now select Upload at the top menu and then select Upload Bricklink XML format. Now open the XML file and copy everything starting with <INVENTORY> and ending with </INVENTORY> at the bottom (ignore the text This XML file does not appear to have any style information associated with it. The document tree is shown below). Return to the Bricklink page and paste the copied text into the box. Select the Proceed to verifyitems button. Scroll to the bottom and select Add to Wanted List. It should say items added successfully. Click on View Wanted List.