Separate download...
Get the FSOpen Installer, that's the easiest way, I think.
http://www.hard-light.net/forums/index.php/topic,45496.msg926914.html#msg926914Make sure you follow the instructions for if you have FS2 Retail already installed and patched, which you do.
If you get the whole thing (which I recommend, it will blow your socks off), its about 3.3 gigs to download, so before you go to bed, set it to go...
I would download everything except the .MVE cutscenes for FS1 and FS2 (you should get the .OGG ones for FS1 and FS2, which are smaller and almost as good, they don't take a ton of d'l time... and if you have the FS2 discs, you can copy them over anyways.)
PS if you want the .MVE versions, the total download is I think 5 Gigs, + or - a little, but that might be the size if you get both the .MVEs, and the .OGGs, I can't remember.