If you want to create the the download and CD as two separate products in E-junkie Seller Admin, then yes, you will need to create affiliate program for both the product entries individually.
Alternatively, you can check both "download" and "shipping" in your product configuration and the check "variants with individual price" option in the product configuration to create 2 differently priced variants and then only ship the CD for higher priced variants.
Their are 2 downsides to that approach.
1. You will only be able to offer "CD and Download" and "Download" options, there will be no "just CD" option.
2. Buyer will need to enter their shipping information even if they are just buying the download option as both variants will be identical except that one will be priced lower.