Be more specific, bought minecraft on Xbox, Pc, Mac? Hopefully you bought it from the legitimate Minecraft.net. As far as downloading it goes all you need to do is start the .exe and login, it should download the game after logging in.
It could be that you purchased the Minecraft from unrecognized website. The legitimate website to download Minecraft is www.minecraft.net, click download. Once the file has downloaded, open it up and enter your username and password into the boxes provided. The game will automatically download the game files after which you can play Minecraft.