How do you get games on a NerveGear?
I have not read the light novels, but based on two very quick scenes in the anime, Sword Art Online, even Alfheim Online, does not get installed into the NerveGear itself. The game is installed or inserted into a secondary device to which the NerveGear is connected to.

Towards the beginning of episode 1, Kirito is getting ready to log into SAO and we can see the title "Sword Art Online" on a console shortly after putting on the NerveGear



We see the exact same type of scene later in episode 16, after Agil gives Kirito a hard copy of ALO.