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For starters, let's go with the popular, fun, and free Fortress 2 game. Click the play button and it will start downloading. Once downloaded, it will be ready to play.
Unless you have a truly awful Internet connection, you can ignore the time estimate for the game installation. On my 100Mbps connection it took less than a minute for the game to download. At this window just click the Next button and...
Before you know it you'll be playing Team Fortress 2. Enjoy!