I made my Louis CK purchase today, and it couldn't have been any easier. Once you navigate from the website and make the transaction happen with PayPal, you're automatically logged in and ready to download the content (at least I was).
This is the future of online transactionating and purchasifying and all that; quick, simple, and secure (God, I hope so).
As for the show, well, I absolutely loved it. The material is fantastic.