You don't want the file being sent by email. What if it's several hundred megabytes? That email would fail and then you'd be left without any file at all, and have to ring up the customer and ask them to send it ... again.
Besides, emails with file attachments, especially sent from automated systems, are one of the biggest offenders that end up getting sites blacklisted as spammers. There's a careful art to making file attachments work in email, and coming from webserver stores is probably highest on the radar. Even mass-mailing newsletter-sending sites specifically disallow attachments for the same reason: they don't want to risk getting their services (even the ones you pay big dollars for) flagged as spammers.
I know you'll say "but I send attachments all the time" ... and while that may be true, your PC is not a webserver, and that's a huge differentiating factor.
You'll be hard-pressed to find a system that would send that file to you by email out-of-the-box.
That said, there's at least one plugin in the plugins library that aims to make accessing those files easier, by skipping the need to use FTP to get them and giving you download links directly in your store's admin control panel, which is where you would normally manage your store's orders anyway. You might explore using that if you aren't comfortable setting up a very simply ftp link that gives you quick simple access from an icon on your desktop or browser.
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