In the database window, do file > import games > select the location where you saved the files
Most chess programs use "My Documents" to store game collections. Chessmaster uses "Program Files" so from the default folder, it may require some navigation to the location of the file(s).
The cumbersome nature of this process in Chessmaster is one of many reasons to prefer Fritz and the ChessBase database software. But Chessmaster costs less.
I have the latest version of Chessmaster and would love to be able to view my analysed (by chess.com) games there if I can. Once I have a game broken down by this site, how do I bring the pgn to Chessmaster for review? Or, is there a software to download that would be better for me to use?