If you have purchased the game online but did not get a link to the download page, or you simply want to install the client without physical media, try http://launch.soe.com/installer/DCUO_setup.exe (This is just the launcher setup, not the full game. After installation the launcher will download the entire game on your first login. This is 12.1 GB and will take several hours).
There is an excellent post entitled "Things I wish I knew when I started playing DCUO" on the official forums here. Definitely worth the read!
Screenshots (taken by pressing F9) are stored as .bmp files in \My Documents\My Games\DC Universe Online\DCGame\ScreenShots
Latest Update: Update Three: Ra's al Ghul's Revenge