By default, the option to require users to register to make a purchase is set. If you log out of your site and attempt to make a purchase, you should then see a registration form before continuing on with the purchase.
If that isn't the case, go into Exchange > Add-ons and click the gear symbol to the right of the Enabled button for Digital Downloads. You can then check to enable that particular option.
Give that a try and then let me know if you have any additional questions.