Games don't get "their own directory", most of the time. Some of them will put a game-specific subdirectory under /usr/games or /usr/local/games (or /usr/share even), but that's for game-specific data, not the binaries. The Windows practice of "a separate folder under Program Files for every package installed" isn't really applicable. The reason for that is mostly because there aren't shortcuts to everything on a lot of people's machines, so the binaries get put into /usr/bin or /usr/local/bin. Most of the time.
Anyway, what games are you trying to start? You should just be able to type the game's name into a terminal, but that does depend on the game.
TuxRacer, for example, gets started by tuxracer. I'm not sure what else you have, but if you can post it, I can take a look at installing it and finding out.