OS X 10.7 Lion is the first version of Apple's operating system that it has issued as an electronic download. If you have OS X 10.6 Snow Leopard installed on your system, then you can log into the Mac App Store to download and install Lion without needing an optical disc or other external media.
Upon downloading the installer from the Mac App store, if you go back to the App Store and select the Purchases section, you will see the download listed as Installed with no option to redownload it. While redownloading the software should not be necessary for most people, in some cases if errors have occurred during the installation that have resulted in a corrupted installer, then you may need to retry the download.
While rare, corruption in a downloaded installer can happen if the system experienced a network error, crash, or power outage during the download.
If you had problems downloading Lion and the App Store now is not letting you redownload, first go to your Applications folder and see if you can locate a file called "Install OS X Lion.app" in there. This file should be about 3.8GB in size, so you can try listing the contents of the Applications folder by size to help find it; however, do check all items in the folder as corruption in the download may have left it at a smaller size.
If you cannot find the Install OS X Lion.app file, try also searching for a file called "InstallESD.pkg" in the same folder, which should also be around 3.8GB in size. This is the disk image that contains the Lion installation, and may be identified as the downloaded Lion installer by the App Store.
With either of these two files identified, remove them from the Applications folder or delete them from your system, and then reopen the App Store. Then try downloading the Lion installer again but if it still shows its status as being installed, then press the Option key and click the Purchases section of the store. This should result in the status for the purchased Lion download changing from Installed to Install, and allow you to redownload the operating system.