I have a MacBook Pro with iTUNES and an iPOD so I don't know how it works with a PC but this is how it worked when I downloaded my most recent CC workouts:
1) I place my CC order and I see an instruction to click on the link(s) at the bottom of the page (one-at-a-time for each workout). I click the first one and wait, then the next, and so on.
2) Each of the workouts shows up on my computer's desktop screen as little CC icons. I drag each one, one-at-a-time on top of the iTUNES icon on the strip at the bottom of my screen. If I don't already have the iTUNES screen up it pops up and each one immediately shows up among my list of songs. Now everything is in iTUNES.
3) To get my workouts from iTUNES to my iPOD I plug in my iPOD and the CC workouts (and anything else I've added since I last plugged my iPOD into my computer) automatically downloads to my iPOD (They call it SYNCing). Then I remove the plug from both my iPOD and my computer.
4) I search my iPOD for the workouts and they're all there. Oddly, when I search the only place where all eight of my workouts show up is when I click on MUSIC then ALBUMS. If I click on MUSIC then CARDIO COACH, only 4 of the 8 show up. Whatever. So click on MUSIC then ALBUMS and all your CC workouts should be there.
If you're doing this on a PC it's probably pretty much the same. I'm a techno-moron and had all sorts of trouble the first time I did it but this is how it worked with my most recent order (several days ago). I hope this helps.