You question makes me presume you are new to FreeBSD.
Nearly all software capable running under FreeBSD is already included as packages or ports.
Follow SirDice's advice, and read handbook's chapter 4.
Installing software on FreeBSD is really simple indeed - as long as it's included as a package (easiest and fastest way) or within the ports - is also not complicated but could take a while because of compilation.
If not, you either have to get the sourcecode (with games.... well... not so easy
) or you need to set up an environment on FreeBSD first, within you can install and run software binaries from a foreign operating system such as Windows or Linux:
wine, VirtualBox, Linux-compatibility (see the handbook as Alexander88207 mentioned), dosbox... what your game suits best.
For a FreeBSD newcomer this may not the easiest way, cause it's not done by installing the software you want to run only.
(Linux distributions mainly differ by the software package handler they use, and FreeBSD is no Linux at all.)
If playing games is one of your primary targets, I suggest to have FreeBSD as for work and all serious stuff - get involved!
it's worth it, because it's really a great OS -
but have another, additional partition, drive or machine with e.g. ubuntu or windows on it, just for playing the games - at least as long as you are well versed enough in FreeBSD.