My question is how do I get ubercart to grant a download after the
order status changes from pending to payment received?

1. Ubercart conditional action (Notify customer when a file is granted) will send e-mail to customer with a link to download file.
2. Like you said Go to My account > file tab and download the file

#1 has some bugs see http://stackoverflow.com/questions/1902848/drupal-ubercart-file-download-link-not-working-from-e-mail and http://drupal.org/node/479836






--
Thanks
Sivaji