simply put the files on your SD isn't true, in fact it depends what program you put
If it is a port from a PC game, like Duke Nukem, Doom, or the ScummVm interpreter, you will need extra files, usually found on the original CD you are supposed to have (it's up to you as for where you should get those files
h34r: )
For example, to play Quake, you need the pak0.pak & pak1.pak from an original CD, or from the shareware version.
If you want to play an emulator, you'll have to find and copy roms too, sometimes in a precise folder
For the others (homebrew like Spout, port of free games, etc), you usually just have to put the files anywhere you want, according to your way of sorting your games
More generally, just read the readmes, and all should be ok
if not, just ask