Download Failed: If your download did not start, please look to the top of your web browser as Windows XP blocks downloads as a security measure. This works well if something attempts to download you did not want, but is a nuisance for downloads you do want. The bar looks like this and you simply click on it and choose "download file".
How to install a game: Files usually come in one of 3 possible "types". Zip, Exe or Msi.
Zip: Zip files simply contain all of the files in a compressed archive. Zip files either contain all the files to install the game or the complete game ready to run. Either way, these files usually need to be extracted to a temporary folder first. Windows XP includes a unzipping tool. Simply double click the zip file and extract to a temporary folder. Then look for the exe, usually called setup.exe and double click it to install the game. Some games do not come with a setup, rather the game is "ready to run". In this case, simply extract the game to a folder and look for the executeable again. If your download was called FunGame, there will probably be a file called fungame.exe and that would be the file to double click to play the game. Windows XP zipping tool is pretty bland, slow and lacking in any features. If you find yourself downloading zip files frequently, you might want to download a Zip utility. 7-Zip is a good free utility. Exe: Exe (executable) are very easy. They are also compressed files, but all you have to do is double click it and follow the prompts to install. Watch for options as you go, as most of the time you can choose to create a quick launch item, desktop item or to add to your start menu. Depending on which you prefer, these options help you find the game however you prefer. Msi: Msi (Microsoft Installer) is almost the same as Exe files. Most modern operating systems support it. It works just like Exe, so the instructions above for executables applies. If you have Windows 95, 98 or ME it is not included, but fret not, you can download Msi from Microsoft.