I haven't done it in awhile, but if I remember correctly, you click on "get PGN" and it gets sent to you. Open the PGN in a chess program or PGN reader and you're good. When you click on a completed game to view it, the "get PGN" is off to the right, like this:
email game to self
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Hello. Is there any way to email a game to myself so I may analyze my moves?
Thank you.