Erm...a little help with my MOTOROLA DEFY?

I feel a bit stupid....and old. And I'm not even 30, and normally tech savvy. But I finally made it into the world of smart phones, chose the motorola defy because I have children and I need a sturdy phone. So far I've just been playing with it to figure it out. But....so far, I can't find any games on my phone? Is that me being stupid? Do I have to download the games first on the app market? I'm used to games always just being on the phone automatically...