What type of phone is it?
For most phones, I beleive you need to pay for web access to get to the WAP sites where you can download new games. Some games are free to download, other require a fee.
Some phone that have a data cable option or IRDA (infrared) port allow you to download games from a PC.
I have a Nokia 6800 which has the IRDA port so I can download to it from my laptop. It will run most MIDP java games. The 6800 even has a tiny joystick on it! I have found a decent version of pacman and a really bad version of asteroids.