Depending on the set up of your site, shipping can either be calculated using tables that correspond to merchandise totals, or use the iAPPS Commerce real-time shipping features, which calculates exact shipping totals depending on the shipper and method chosen as well as the destination.
Commerce calculates the new shipping total, which is reported in the final order price.
If downloadable media is the only product in the order, than there is no shipping charge and the Destination and Shipping Methods steps are skipped.
If you are shipping items to multiple addresses, then shipping costs are calculated separately for each shipping destination. You can change these shipping methods in the same manner.
See "Add or Change Order Shipping Destinations"