Well you can go to the "Android Market" application (this should come pre installed on your phone), and you can look through, or search for applications and games that you wish to have, and you can press the download button (be sure to check the reviews, and permissions to make sure they're reasonable for the game) and it will install on your phone, and you can proceed to use it as you wish.

 

Via the market, press all apps and look in there...

 

If you press a blank spot on the screen and hold your finger on there for a second. A box will pop up with a few options. Press shortcuts and another box will pop up, press applications. From there you can go through your list of applications, when you select one it will put an icon of that application onto your screen.

 

Connect your phone to your computer via USB, look in hte notification bar and select the USB connection notification that appears (or could be a pop-up on the CHarge, haven't seen it) and select enable USB storage or similar.

New drive letter will appear on computer, copy .apk files to SD card to folder (good spot might be the "Download" folder on the SD card, but it doesn't really matter).

Eject drive from computer using the Windows disconnect drive option in the system tray. Turn off USB storage on the phone via the same option in the notification bar and disconnect USB cable.

Go into Settings/Applications and enable installing apps from Unknown Sources.

Go into the files on your SD card on the phone (via the Files app, or any other file browser on the phone) and select the apk you want to install and select the Install option.

If the files aren't too huge you can also email them to your gmail account on the phone and install them from your email...you may need to install an app from the market called "tattacheApkinstaller" to enable that.