I found some free iPhone games on this page,
http://www.aimersoft.com/iphonegames/freeiphonegames.html
they seems so interesting, but I don't know how to install them on my iPhone, can anyone help me please?

Those appear to be Web-Apps, not native apps. just follow the link using your iPhone and pray you're on WiFi and not Edge...

For native games, you would need to jailbreak your phone.

jailbreak my phone? what's that?