Well, the motherboard and video card will come with CD-ROMs (or DVD-Rom) to install the drivers, the reason its advisable to download them directly from the website is due to the fact that by the time the end-user (you) buys the product so much time will have elapsed since it was packaged that the drivers are out of date.
Although, you have to at least install the LAN drivers from the disk that comes with the mobo (or have it downloaded and ready to go) as the computer will not have internet until you do.
You might find on the motherboards website that they have a single file with everything if you look. Asus at least does.