Comodo will send you an email that looks like this. Make sure that you open the link in the email in the same browser that you purchased the code signing certificate in.

REMEMBER: Make sure you retrieve the certificate on the Windows machine you purchased the certificate on.

You will be asked to allow Comodo to access your computer.

Assuming you used the same browser you started the process in you should see a Successful message. The code signing certificate has now been installed on your computer.