Unfortunately, this happens to all of us. I've had a game lost in shipping before. Sometimes it shows up, other times it doesn't. It's not your fault, so just go into your game queue and report a shipping issue by clicking a link next to the game in your queue. This will let GameFly know there is a problem. They will also send you your next game in your queue.
The game will come in an envelope which you open to find the game house in cardboard. Be sure to save the envelope because that is how you send the game back. Just place the disc in it's sleeve and cardboard, place it back in the envelope, and mail it back.