You'll get the same files on the CDs (if you can get the CDs).
What you dl'ed are the game engines, but you'll need to go and find the game data. e.g. for Doom you'll need the wad files from DOOM. So, you'll either need to aquire a full version of DOOM, then use the executable you dl'ed to run the wad or just pay for the game from a licensed porter like Hyperion.
(Or you can find some of the PD WAD files around on the net).
