If you are working on your local host/ your own machine...
I find it to have less complications if you build the store as a seperate website by itself, called..for example..."store".
then add it into already developed pages of the site (if you have any) when you are completed and have no "issues".
In the "store"...
Get WA ecommerce database sql and install it in the server.
Run DA to build product detail pages..insert, update delete.
Also run security assist for your user info pages.
Make a blank page called cart.php
Run the wizard.
Payment integration is in the wizard...
Here is WA link to the order in which to run the ecart...and it does work out well if you do it in the as it is written.
Then you can modify after that if need be.
In addition, I build my Admin seperate also. And then copy and paste it into the "final store"
I have less headaches doing it that way. :)
As far as downloads that should be done after you have your store functioning properly.
Use DFP2 to help you set up your download stuff.
WA also has a tutorial on how to make a download page.
When you are sure everything is running smoothly, run security assist for access, or to prevent access to the area's of your site that you want restrictions to. (But I do run security assist right away for the user info, login etc, as log in stuff does help when testing all the other items, to make sure they work properly.)
Hope this was helpful..:)