When you try to download a game and get a pop-up screen asking you what you want to do, it is best to click on the Save button. Then you will be asked where the file should be saved which should be a convenient folder on your hard drive so the file can be easily found. For example, you could have a folder called GAME_DOWNLOADS containing all the game installation programs you want to use.
Once you have saved the game installation program, you should scan it with whatever anti-virus program you use with your system. There is always the possibility that the installation program might contain malicious software. When you are certain that the installation program is clean, then you can double click on it to install the game.