The game comes directly from PSN Store, you will be able to go online, get updates, etc.
After the setup process, the game will be available to launch on your own account, just as any other game or app you purchased directly in PSN Store.
Winner of more than 200 Game of the Year Awards, The Elder Scrolls V: Skyrim celebrates 10 years of adventuring in stunning detail. The Anniversary Edition includes a decade worth of content: the critically acclaimed core game and add-ons of Skyrim Special Edition, plus pre-existing and new content from Creation Club including quests, dungeons, bosses, weapons, spells, and more.