Well first of all, you need to make sure you downloaded your games. Go into you "My Account" page and select the game you want to download. Depending on how you are viewing your "My Account" page, either click on the name of the game or the picture of its box then select to either Download using browser or Add to downloader if you have the GOG downloader installed.
Once the game downloads you'll have a setup_[game_name].exe file downloaded to the location you chose to save to. Depending on your Windows settings the .exe part of the title of may not be shown.
Either way, click on the setup_[game_name] file and then follow the on-screen prompts to install it. You'll need to tick the tick box indicating that you agree to the EULA before the install can continue.
Once installation is complete, you should have both a link to the game in your start menu (under a GOG.com program folder) and a shortcut icon on your desktop. Use either of those to launch the game.