You can drive it home that day, because most reputable dealers have insurance on their cars, and that insurance would still be in effect for a very short time. If you already have a car with insurance on it then just notify your insurance company of the date you will be picking up the car, and you will be covered. If it is your very first car you should get the VIN number before you pick it up and set up your insurance coverage before you drive off the lot. Because insurance is for your own protection.