But you didn't explain it very well... Important facts that you left out are, for instance:
What domain did you buy?
When did you buy the domain?
When did you pay for it?
BuyDomains.com is a large company. It's possible that it will take some days for them to push the domain to you. They must have provided some instructions regarding how the transfer of the domain should be done.
Do you want to transfer the domain out to another registrar? If yes, you will have to initiate that transfer yourself. Also, BuyDomains.com usually wants to confirm the identity of the buyer before giving the domain away. I remember that, when I bought a domain from them, they called me before I actually got the domain.
I'd say don't panic. Get in touch with your BuyDomains.com sales contact and he or she will explain everything to you.