The GOG.com version of both FS1 and FS2 is an EXE installer. The FS1 installer is 830 MB and the FS2 installer is 1.6 GB.
There are two ways to download it. You can either download it immediately or add it to a downloader.
When you purchase the game from GOG.com, you can download "extras" in addition to the game itself.
FS1 extras:
Manual (74 page PDF, 1 MB)
Wallpaper (4 JPG files for 1280x1024, 1600x1200, 1920x1080, and 1920x1200, 6 MB)
Reference Card (PDF, 1 MB)
FS2 extras:
Manual (41 page PDF, 2 MB)
Wallpaper (4 JPG files for 1280x1024, 1600x1200, 1920x1080, and 1920x1200, 6 MB)
Reference Card (PDF, 1 MB)
Soundtrack (11 MP3s, 1 JPG, 20 MB)