you find the game and press “download”
however nowadays the games are located at special sites. for example genshin impact or minecraft – you download them from their official sites. games like team fortress and warframe – from steam (a platform for buying/playing/communicating. game marketplace and social media at some point). basically if you search for game in google, the first found result that doesn’t have yellow thing “advertisement” and is not wikipedia – is probably your official way to download the game.
so you find the button download, find windows or whatever you’re using button if there is one, a file appears in your download folder. how do you access it – depends on your browser. you could find your browser menu and find “downloads” folder or could just use hotkey “ctrl + j” to open downloads on most of the browsers. then you click it and it must open an install program. in steam you install stuff by just clicking at “start downloading”