Usually this issue is caused by two different problems:
If you weren't redirected to an order success screen after paying for your order, but you did receive a confirmation email for your purchase, then it is likely that your GOG account wasn't refreshed properly. You can manually refresh your account by clicking here, after which the game should be available in your library.
If you weren't redirected to an order success screen after paying for your order and you also haven't received any confirmation email, please double-check if your payment method of choice was actually charged. If this is the case, please contact us so we can investigate the issue and, if needed, manually process your order.