As seen at the top of a Yahoo!/B-Side co-branded shopping cart check-out screen,
NOTE: Our shopping cart requires you to enter your shipping address when you place an order. Yes, you have to do this even if you are only purchasing a download. Yes, that seems a bit, well, stupid. Hopefully, you can forgive us this minor inconvenience. Just enter your billing address for your shipping address, and we can all put this behind us and move on. - The management.
I think this is because you have to verify your credit card with an address. So if you ever charge anything, VISA/MC/Discover needs to make sure it is really you.