The "My Games" tab is part of the WildTangent Games Application, it's where you will find icons to all the games you've been playing, or downloaded to that computer. (you'll also see some suggestions for similar games.)
If you are on the WildTangent website (www.wildtangent.com), you will not see "My Games". Launch the Games App (clicking the green W on the blue square on your desktop) and you will see the My Games tab.
Below we added a screen shot, so you can see the difference.
Games downloaded on a specific computer will appear on the My Games tab. That means if you are on a different computer, or a new one, you won't see the games you had downloaded onto another computer listed. You'll just need to download those games again. Also, it's good to remember that saved game data is stored on the computer where you played. For example, if you were on level 17 of Penguins! on your old computer; you'll be starting over at level 1 on your new computer. (If you purchased a game, be sure to use your unlock code to unlock the game and play without needing to use WildCoins.)
If you've opened the Games App, and you do not see the "My Games" page, and you double checked you're not on the website, then we recommend that you close out of the Games App (click the X in the corner) and then launch it again. It should be there. If not, contact Customer Support.