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After you have run the set up file you downloaded, you will find the three games (Tiberian Dawn, Red Alert, and Dune 2000) in the place where your computer usually installs things. On windows machines this is usually "C:\Program Files\OpenRA". 

When you run each for the first time it will ask you to let it download some files that it needs to run. Using the Quick option here is easiest. If you have the game disk to hand you can use the Advanced option if you like.