Well if you have an emulator, it's easy enough. Just load it in to the emulator and you'll be on your way. How you load it in will vary from platform to platform and emulator to emulator but most of the time it's a simple operation of finding the "Load" option in the emulator, navigating to the folder where you've saved the downloaded game file and opening it. Most emulators support Auto Loading wherein simply opening the game file will automatically load the game. Sometimes you have to type in LOAD "" to load and run the game - just like the old times!
Make sure you are in the correct "hardware mode" while loading in a game in an emulator that emulates different Spectrum models. Some 48k games do not work in a +2 environment while 128k games usually do not work in a 48k environment (unsurprisingly).
The process for loading TR-DOS games is slightly more involved depending on which emulator you are using. You'll be better off reading the emulator documentation to know what precisely you are required to do.
Alternately, you can play the games directly on-line without downloading them on to your computer. To do this, click on the small Spectrum icons next to the links in the download section. This will open a browser window where a Java based emulator will run your game.