If you're talking about PC games you need to first install the GameFly Digital Client. http://www.gamefly.com/download-games/GameFlyClient/
Once that's installed you can begin to buy and download games or play the free games in the Unlimited PC Play section. FAQs are here: http://gameflydigital.custhelp.com/app/answers/list/
If you are talking about console online play, online passes are not given with game rentals. You can buy the pass from your console's online marketplace or keep the game from GameFly and the online pass with the case and manual will be sent to you.
If you are talking about the GameFly arcade games, simply go here: http://www.gamefly.com/Arcade/
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If you have additional questions please check the support section or feel to ask me on my wall.
Good luck and good gaming. :]