Do you mean download with a PC or with the Amiga 500? If you have a PC then you can't easily write to Amiga disks directly without an expensive floppy drive controller called a Catweasel MK4 (unless you can find an earlier one...)
There are a lot of Amiga 500 games at
Back to the Roots if you want to play them on your A500 then you need to get a null-modem cable to connect your A500 to the PC and get terminal software that will let you transfer files to the A500.
If you want to play the A500 games on a PC then the thing to get is
WinUAE it will have instructions about how to download your Kickstart ROM to disk so you can run Amiga software on your PC.
And finally, welcome to Amiga.org!
