Why was it a mistake? Unless you've got a gaming PC to play it on or a PS3 to play it for free, then you've made a fine choice. Borderlands is a good game.
The game is also pretty good at telling you how it works, and what it doesn't tell you is pretty simple in the first place. Point and shoot. I didn't know that you got manuals with downloaded XBL games, anyway.
@believer258: It was a mistake because it would have been cheaper buying it physically and I would have had the manual included. The XBL games on demand is not a service as much as a disservice...
It's quite comfortable not to need disks and simply start a game by choosing it in the menu, though. Being able to power the console from the controller is rather pointless when you have to put the disk in the tray anyway (and the previous disk in some box).
@keris: Thank you. I was hoping it was available on a more "official" source, but this works in any case :)