There are several ways to install games onto the Arduboy, at this point.
If you download the source code (AKA the sketch), you can use the Arduino IDE to compile and install the game.
Meanwhile, you can use a few different programs to transfer the pre-compiled code that comes in the form of a .hex file. My program can do that, but it already comes with BurgardTime pre-installed, so you don't need to download anything. Just choose that game from the list and click 'Transfer'.