If you download games that are source, like Battle for Wesnoth
http://www.wesnoth.org/ you will need to do a compile job on them.
I'll use Wesnoth as an example.
1. download the game into your home directory.
2. Now in a terminal make sure you are in the home directory or where ever you downloaded the games to.
3. You will need to untar the game. Since the package ends in tar.gz this is the command you'll use to extract it in the current dir. tar -xvzf wesnoth-0.8.tar.gz
4. after the file is extracted cd into the new dir. Example: cd /home/username/wesnoth
5. Now you'll need to as user type, ./configure
6. Now type as user, make
7. Now su into root, then type make install
8. The game should be made and installed at this point from the source file.
9. The excutable is in either /usr/local/bin or /usr/bin
I did not install the game during writing this so I could be wrong on a step or 2, but, that is basically how it is done. If they make a binary for your specific distro that should make it easier for you but I am unsure how to do it with rpm's. Possibly rpm -ivh (name of file .rpm)
Something like that anyways.
Hope this helps.