You can choose how you receive them. As Gingejbee indicates, the most common way to get them is to nominate the station where you'll pick them up (which could be at any time up until the date of travel) and collect them from the self-service machines. (NB: You'll need to have the debit/credit card with you that you purchased the tickets with, as well as the authorisation code).
My own local station is unstaffed (with no ticket issuing facilities), so I can't pick up my tickets from there but I simply nominate the staffed station 4 miles away instead and pick up my tickets on my next shopping trip to that town.
As someone who has run a railway station (and had to deal with countless problems caused by tickets incorrectly issued by 'third party' websites) I most strongly advise you NOT to use trainline.com or any similar sites. They can't offer you tickets any cheaper than the train operating companies can (and you'll often end up paying more through booking charges). The ONLY website you should use to search for cheap fares is this one:
http://www.nationalrail.co.uk/