Please first read this if you're thinking about purchasing a Gaming Server for Gaming.

Now first, you need to download and install the games you want to play, then you can start playing right away. (We recommend Parcec when you're going to play a game to have a better low-latency experience while playing). 

Note: this do relies mainly on your Internet Upload Speed. See this "How Much Speed Do I Need for Online Gaming?"

Enjoy Gaming!