Hi Natreen,
I've also bought and DL'ed ArmA2 from the petergames website and never had any problems with installing or running the game.
After I paid for the game I was sent an email with the subject "Ihre Bestellung Petergames" containing my order and payment confirmation. This email also gives you the serial number/activation code for your ArmA2 (under "Installation").
After DL'ing the game, I ran the ArmA2 installer, put my serial number from the email in and ArmA2 was ready to go...Since, I've even un- and re-installed ArmA on my pc following the same procedure as mentioned above but still without having problems with being asked for a cd or anything...
Good luck.
