So burn the downloaded copy to a DVD yourself to make a hard copy. It's not like you can't back up the data after you have downloaded it. Steam even breaks the backup into CD or DVD sized files for you if you tell it to, so you can back up the install. Heck, I convert my install discs to ISOs and store them on my external hard drives so I don't have to dig through a huge binder of them every time a game needs installation or needs the disc to run. I just mount the ISO with DaemonTools.
You're limiting yourself in unreasonable ways considering the technology available to you. Also, even if you had a hard copy, FFXI isn't installable on consoles without internet access. PC version is, but then you can't update, so you might as well back up your installation folder to an external drive also.
