Your use of the RTFM smiley is well placed... ;-)
The PCMCIA ethernet card can get your Amiga online so you can download software directly on to the Amiga, and also transfer files from your other computers (if you have any).
WHDLoad has an excellent manual, but basically you just install it by running its installer, then download individual installers from whdload.de for whichever games you want and then run their installers. Each one will prompt you for the game's floppies in turn and install them to your hard disk. Then you double click the installed game's icon to run it.
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moto