Installing games on Windows 7 is no different than doing so in any other MS OS. About the only thing that you must remember is to do so with Admin Rights, which, for the most part you will have if you login as the admin of your computer. If you login as a simple user, then, you must ask the admin to install the game for you and make a shortcut to it on your side of the desktop (ie: your dad is the admin and he made a login for you as an user) but that's just how it works on XP as well.
The installation should also ask you if you want a shortcut on your desktop (again, if you are the admin), otherwise, you just got to go to the Game folder on your Win 7 and the shortcut should be there.
FPS games on PC are still a little more challenging than those of found on the consoles but... to each his own.