If you mean web-page based games (such as Yahoo! Games or Popcap Games) then it should work as normal.
If you mean games which connect across the Internet to play multiplayer, then you are now using a LAN card, in which case, you should be using this option instead. See what your documentation says about this.
Remember that if you have a LAN card (Ethernet card) in your computer, Blueyonder uses this directly connected to their broadband modem. If this is unable to be installed, then it will be using a USB port. Windows should class it as a LAN connection regardless, but some games may not like this setup.