It depends. The problem is that most games are designed for Windows and can't be run directly on Linux.
To run them, you need to use Wine or Proton, and depending on the game's complexity, it can be as simple as running `wine game_name.exe` or as complex as installing and configuring dependencies. It's something you have to check on a game-by-game basis.
Now, if the game has a native Linux version, it's usually simpler. You just need to run the main file, which will often be a .SH or .APPIMAGE file, although most are simply files with the game's name but no extension.
The simplest solution is to use Steam. The Steam client installs Proton and configures everything automatically, and it works with the vast majority of games. It's by far the simplest and easiest way.