These are stand-alone executable packages. They have two personalities: Sometimes they think they're an ELF executable, so you can just run them and play these awesome games, if you have execution credentials (chmod +x [package file]). Sometimes, they think they're an ISO file, so you can also mount them with fuseiso, acetoneiso, or your ISO management application of choice, and peek what's inside.
Inside the packages you'll find two things:
A minimal installation for each game, sometimes next to a minimal Wine installation
A little script (AppRun) to glue it all together when you run the package