Many of the games are compressed in the Zip-Format. This format reduces the size of the file tremendously which benefits the time of the Download and the Traffic. If you have Windows XP you can simply click on the downloaded game. Windows XP recognizes the Zip-Format automatically and opens the file.  

For all the Windows 95/98/ME/2000 users of you who still don’t have a Zip-extractor I recommend the following free pro-program: 

StuffIt Expander 7.0.2

After the installation of SuffIt, it is enough to simply click on the down-loaded game with the right mouse-button and to extract it into the file you want. 

If you have further questions write to

help@fun-for-free.com

Keep on having fun at fun-for-free.com! 
Best wishes from Thorsten of the funforfree-team!