The feature is called Digital Download and is available in ShopSite Pro level stores only. So if you have a Manager or Starter level you won't find it in your store and you would have to upgrade to Pro to get it.
The feature is configured and files uploaded to the store under Commerce Setup > Digital Download in the back office. There is an option on the Edit Product Layout screen to indicate the product is for a digital download item and you select what file is associated with it there.
Here is a link to the help for configuring digital downloads
http://www.shopsite.com/help/9.0/en-US/ ... files.html
If you configure it so the download link is automatically provided to the shopper, make sure that you are using a real-time payment gateway so you collect the money at the time the order is placed. If you don't you could end up giving the product away without getting any money for it.