Yeah that's what I hear. I wouldn't know, we can't get it here in Canada yet. We can't even get access to the Marketplace without changing the region of our windows installation to USA (I did this, only because it makes it really easy to search for podcasts), but I still can't buy anything.
It's in the Zune software. I'm at work and can't 100% remember how to get there, but I seem to remember it being in the settings tab. There's a button to install the games.