Then double click the new folder and rename it to My Downloads. Then double click My Downloads and click Create New Folder again. Rename the new folder by the manufacturer. Compete the operation by clicking OK or Save. After downloading the file, open My Computer or Windows Explorer, find the file and double click it.
Most sites have complete instructions on downloading and installing their files.
By placing it in a folder, you will have it if you need it again. Be sure you back these files up on floppy, tape, Zip or CD so they will be available if the computer crashes. Lots of free games are available on the web. Download them into a new folder under My Downloads. Some may be in Zip format and require unzipping first.