Do we have to download it? There doesn't seem to be a way to do so. Is it already installed?

From Steam:

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The Bear and The Burglar is a free update that is automatically included in Divinity: Original Sin on Steam


From Larian:

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[The patch] is in anticipation of the launch of new companion DLC


I'm just a bit confused and thought this might be a good place to find some clarification.

Generally, a notebook goes in your pocket, doesn't it? Give that notebook its own pocket. . . . in that pocket, put another notebook. . . .