I forgot to address 2 points that were in your reply:

Sounds like you do not have the Option Name set up as either a Radiobutton or a Dropdown
I have them set up as checkboxes. I thought in order for them to be able to select more than 1 item, we had to use checkboxes.

or You do not have a default set so the Product gets added to the Order without a Download attached to it ...
This one confuses me a bit.

If it means that am I making one of the downloads a default that is already checked? The answer is no as the client didn't want one checked by default.

If it means if there are any other regular products (such as the cd hard copy) for sale on the same product page as products for download. The answer is No, not on any of the downloads sold thus far. They have been ones that are all downloads only with no physical item listed.

betty