The easiest way to get more software is to use AddApp. Go to the list of Zero Install software and drag any links that interest you onto AddApp. After confirming which version you want to download (usually you will just accept the default) you will be shown a save box to let you put a launcher for the application somewhere:
You can just drag this to your Apps directory to save it.
Remember that any software you choose to run could be malicious, so only run software from sites you trust. When you run a program written by someone new, AddApp will ask you to confirm that you trust that person.
Non-ROX software (including games) is also available this way. See the list at 0install.net.
Some software you use will be available via Zero Install (including most of the ROX programs). However, there is a lot of software that is not currently available this way, but is instead distributed as compressed archives that you download and unpack.
You can use Archive to extract these as described above. Download some more ROX applications, for example:
Drag the memo-<version>.tgz archive onto Archive to extract it. Save the extracted directory into Tutorial. Inside the directory you will find the Memo application, which you can click on to run it. You can move the Memo application anywhere you want using the filer (drag with Shift held down to move things).