There should be a set of files that can be burned to an optical disc for archiving. Make sure you store the activation key as well. They're typically all in the same location, but I've never downloaded from Amazon, so I can't say why yours aren't.
Downloads always have a limited number of activations, but so long as you never reformat your hard drive or upgrade the OS you can reinstall it to the same PC as many times as you like so long as the fingerprint the activation leaves behind isn't deleted - be careful what you manually remove.
To burn them from Vista and above, select the files (or folder) from Windows Explorer (with a right click) and peruse to Send To - select your optical drive.
XP Has no built-in support for writing a DVD, but you can basically do the same using a CD. You just have to remember that the storage capacity of a CD is much smaller than a DVD. If you have a third party product (like Nero or Sonic) you can use those to write a DVD.