Futureshop usually ships the item you ordered on release day and not earlier, so yes you would recieve it a day or two later depending on where you live.

Sometimes depending on the item, wether the delivery of that item to their warehouse made it on release day (sometimes they dont get stuff on release day unfortunately but I dont expect that to be the case with MW2) and the amount of shipments they need to make for that day may impact and delay the shipment of that item to you as well, the most recent case of this with me was Uncharted 2, it didnt ship out to me until like 1-2 days after the release even tho it was in-stock on release day. Im pretty positive that this might very well be the case with Modern Warfare 2 as I expect there to be a huge amount of orders and they have only so much time in a day to ship stuff.

As for pick-up unless you specificly chose pick-up option at check out you cannot go to a store and pick it up.