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If you decided to checkout the help section, then you clearly do not understand the concept of playing flash games. WAIT! Before you exit this site and assume I'm a complete asshole, let me tell you that a person is never perfect and does not need to know everything. This is why I'm going to explain a bit of the concept of this flash gaming site.
Flash gaming - According to Wikipedia, flash games are basically considered as browser games. This means that these types of games are specifically for a person to play online and in a browser rather than on the computer itself. There are ways to download the flash games onto your computer, so you could play while offline, but that is a totally different thing. A flash game does not require you to download anything unless you don't have the basic flash or java software installed on your computer.
Now that we could the basics down, all you need to do is go to the appropriate game or section where you want to view and click on your choice. It would automatically load and the speed depends on the file size and your Internet connection. If you need any further help, feel free to contact me