He probably said "downloaded" when he meant "installed." As far as I know, Myst III: Exile is not available as a downloadable game. Myst Masterpiece is available at GOG, but I'm thinking he's using an old Myst game CD from the 1990's and Exile discs from its original release in 2001.
When you're playing old games that were originally made for Windows 95, 98, or even the original version of XP, you'll probably need to install them into your user account's Documents folder instead of the default location in C:\Program Files or C:\Program Files(x86). During the Install, browse to C:\Users\<username>\Documents and have the installer place the Myst folder in there.
You'll probably also need set Compatibility Mode -- Right-click the game shortcut (or the game exe) --> Properties --> Compatibility tab --> set the dropdown box to Windows 95 or 98 compatibility. Also put checks in the boxes for disable visual themes and disable desktop composition (also on the compatibility tab) and OK the changes. Also, when you start the game, right-click the shortcut and choose to "Run As Administrator."
In the case of the original Myst, it may not work if your version of Myst installed QuickTime 2. I think QuickTime 2 is too early for Windows 7. Myst III doesn't use QuickTime, but may have other issues with Windows 7.
It's going to be hard to get either of these games running outside of a Virtual Machine (Virtual PC or VMware) on a Windows 7 computer, but you're welcome to try the general troubleshooting tweaks I mentioned.