Or you could grab a ClassicWB package. I think there is a beefed up version for a 4000 that should work well. Plenty of nice software in there.
Whdload is really easy to use though. Just make sure you have some dumps of the various kickstarts as it will request them for certain games. As yssing says the games just require you to download an installer package from the that and it does the rest its self. Or you can download already done packages from a few sites. Once done its just click on a launcher icon for the game and off it goes.
Edit:
Like Dan said.
