Gamefly customer support will send you another copy, just like the email said. You may get both copies at the same time because of some confusion in the mail, or one copy could of really been lost. This will not affect your account in any way. It is not your fault that the game never arrived to your house.
*Sigh* You do know that if you actually write out the question properly you can get a better answer right? If your asking if Gamefly games come with instructional booklets when you rent them, no. If you buy the games from Gamefly, then yes, it will come with the games booklets containing instructions on how to play the game.
PC games CANNOT be rented due to each game having a specific "serial code" that needs to be entered and only works on one computer. But starting in September, Gamefly will have a program that you can download PC games, but your going to have to be buying them, not renting them.
Your game was not sent because either all your games on your game Q have not yet been released or Gamefly has run out of them since they have thousands of other users that got the game before you. So your just going to have to wait.