Use a chessboard, your brains and the record of the games.
Could you be more specific ?
You can also instal a chess engine with a Graphical User Interface (GUI) in your computer. There are free, inexpensive, and very expensive ones. The free one I have heard of is Stockfish which does not come with a GUI. A free GUI is Arena. The inexpensive engine I know of is Shredder and comes with a GUI. The expensive engine I know of is Deep Fritz (Chess Base) and comes with a GUI. I know some people will also recomend some books as well, so I will leave room for that. Cheers.
I use babaschess to analyze games.
First get the PGN for the game. This is available if you view the game from chess.com (outside of live). Open the file with Notepad, select all and copy the text.
Then in Babaschess, under the Edit menu click Paste to paste the PGN you copied. Then in the Analysis tab you can run the engine on different positions from the game.
How to analyze games?