Find the game you want, and make a directory on you computer for it (e.g. C:\Rott). Then click it to begin the download. If you get an FTP error, or something similar when trying to download, press the RELOAD button until you get a save file window. The FTP site where the game is held is often simply too busy. If you keep trying, you'll get through.
Most of the games you download are ZIPPED. (This allows a quicker download time because it is compressed). After you have the zipped file [whatever.zip] in it's directory, it needs to be UNZIPPED. For this, you need a program such as WinZip. It can be downloaded from shareware.com. After you unzip the game, you can delete the .zip file. What you need to do next...depends on which game you've downloaded.