Just download, unzip, and burn to a CD. All the programs will run from the CD -- you don't have to install anything on your Computer. The CD will autorun with a menu to make things easier.
Educational: Tux Paint, Tux Typing2, Tux Math of Command
Fun Games: Tux Racer, Super Tux, Icebreaker (xonix clone)
PDF Print-outs: Tux Origami, Tux Buttons (or stickers)
Plus a short lesson on operating systems, Tux and open source, including direct links to Wikipedia sources.
It's free software that's intended to be free, and kids love it, and did I mention it's free?