Downloading / Installing / Playing XBOX 360 Games?

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I have just bought a 250GB XBOX Slim, and would like some new games for it. I see there is a section for consoles and there are loads of 360 games up for download. Basically I'm just wondering how I would go about getting the games from my PC once downloaded onto the XBOX. Could I use a USB stick if I get one big enough? Also, would it be advised to install the games on a none-live account so I don't get banned or whatever? (not sure how this all works) Thanks