Selling downloads in foreign countries – shipping form.

Hello,
I sell mostly digital music and books.
I had my first sale from outside the US and the customer couldn’t buy it because there was something wrong with the shipping address.

I don’t have foreign shipping set up for anything but I thought that since it’s a digital file that wouldn’t be necessary.

So do I need to set up shipping anyway for foreign countries to be able to sell digital only files? And if so, where would I find out how to do that?

Thanks.