Hey, it all depends on there ending eg. *.exe.*.rar,*.zip,*.iso. Now if you have downloaded the games i suspect you were donwloading them from a warez server, if that is the case then you have probally downloaded them in a *.iso format. An *.iso file is an image file for burners, meaning to run the game you have to burn the game to a blank disk and then run it from the disk for the game to be in an exe format. If you have downloaded them in a .exe format windows will automatically know what file it is and you will never get a box asking what program to run it in. For *.rar or *.zip use a program called WinRAR (google the term "WinRAR" to fiind a download page) to open them. However it could be in a different format so for us to help you you need to tell us what format it is in.