Obviously, the first step is to actually find your games. Getting vidya has never been easier, and here are some popular methods:
The most popular method to get video games these days, online retailers provide easy access and updates.
Sometimes a game requires you to go to a website to download it, which is common for free games and some paid ones (e.g. Minecraft)
Before the rise of online platforms, people would buy these things called "CD-ROMs" or "DVD-ROMs" or "floppy disks" and insert them into a large port on their computer. Then they would install the game into their computer.
Whether it be the Windows Store, Mac App Store, or your friendly neighborhood Linux repo, all of them have games that you can install directly to your computer.
Despite the rise of Online Retail, piracy continues to be a popular method of obtaining games, especially in third world countries. For the more obscure old games, this might be the only way to obtain it these days.