If its already downlowded how do I actually play the game?

Your post is rather vague so here are two options based on what you meant:

To Install: Once the game is downloaded you need to install it. The installer should be labeled setup_incoming_and_incoming_forces_2.0.0.14 or something similar. If you downloaded it directly, the file is most likely in your downloads folder. If you used the GOG Downloader, its in your documents folder in another folder called GOG.com Downloads. After launching the installer, you'll want to check the box at the bottom and click the Install button.

To Play: You should be able to launch the game from the Start Menu. All GOG games go into a menu in the Start Menu called GOG.com. If Windows asks if you want to allow the program to make changes, click yes or it won't run/work properly. The mouse is sluggish for me in the menu so I recommend using the up and down keys to navigate the menu and enter to select. In game, the arrow keys will control direction, Q is forward, A is back, space is primary weapons fire, left shift is secondary weapons fire. If you want to remap the controls or use a controller, you can set that up in options.