ZDoom

I receive this whenever I try to start up a game...

Cannot find a game IWAD (doom.wad, doom2. wad, heretic. wad, etc.).
Did you install ZDoom properly? You can do either of the following:

1. Place one or more of these wads in the same directory as ZDoom.
2. Edit your zdoom.ini and add the directories of your iwads
to the list beneath [IWADSearch. Directories]

What do I do? I'm duly confused.

http://www.zdoom.org/wiki/index.php?tit ... n_of_ZDoom

Extract all the files from the .CAB file into a new directory or a directory with an existing IWAD.

http://www.zdoom.org/wiki/index.php?title=IWAD

RTFM!

Or, in the case of ZDoom:

RTFW!

Yes, do what Enjay said.

If you don't have any IWADs, you can get some Demo versions here, or you could fine the full Strife somewhere

There is also freedoom. I havn't tested it, but I'm quite sure it works.