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JMich: Go to your shelf in the site, click the game, then click to download it through the downloader. It should then add it to the download queue.
The downloader will not show you a list of games and allow you to download, you have to add it through the site.
Yeap, JMich is right. Both downloaders (old and new) do not show you the list of games you bought. You have to add downloads through the website.