First please ensure that you have ordered a backup CD as an addition to the game download. You can confirm this within your purchase history.
Once you confirm, make sure that it has been over 14 days since the order was placed. Backup CDs can take up to 14 days to arrive (though usually much sooner within the United States and Canada) and are shipped via USPS.
If you still have not received an ordered backup CD, please submit a support ticket providing the game title and the shipping address.