How do I do data entry with Foreign Key integer IDs?
I think the easiest solution for you would be to create a stored procedure that took @GameName and @ConsoleName.

CREATE PROCEDURE InsertGame @GameName VARCHAR(50), @ConsoleName VARCHAR(50)
AS
BEGIN
DECLARE @ConsoleID INT

SELECT @ConsoleID = ConsoleID FROM Console WHERE ConsoleName = @ConsoleName

IF @ConsoleID IS NULL
BEGIN
INSERT Console (Name) SELECT @ConsoleName
SELECT @ConsoleID = scope_identity()
END

INSERT Game (Name, Console) SELECT @GameName, @ConsoleID

END


If you entered in a @ConsoleName that didn't already exist in the Console table, it would INSERT it there. Next the stored procedure would look up the ID for the console name you provided it, and INSERT a record into the Game table with @GameName and the @ConsoleID.

Then you'd call that stored procedure for each Game you were planning to enter:

EXEC InsertGame 'Grand Theft Auto 5', 'PS4'
EXEC InsertGame 'Grand Theft Auto 5', 'PC'
EXEC InsertGame 'Final Fantasy XV', 'PS4'
EXEC InsertGame 'Overwatch', 'PC'
EXEC InsertGame 'Civilization 5', 'PC'


And so on until you've inserted all of your games.

Please note that the exact syntax I've used is for the database platform I am most familiar with, but the underlying logic should be usable in any database platform.

Also, as I write this I am struck by the idea that what you really want is to support a many-to-many relationship between game titles and platforms, since a platform can have many games and a game can be available on multiple platforms. That would take a little more work, but would be helpful for efficient storage and would give you the ability to easily determine which platform(s) a given game was available for without doing a text-match.

So, at a high level you'd need another table. The existing Game table would not have a ConsoleID column. Instead there would be a new table, likely called Console_Game, that would include only ConsoleID and GameID as keys. Then the stored procedure would need to check for both the existence of ConsoleName, and the existence of GameName. Inserting into both tables as necessary, and then finally write a record to Console_Game to show that a given game is available on a given console.

This will be more work upfront, but it is a more scalable solution than what you currently have. If this is for a job and not a hobby you should probably go that route.