I was too poor for that stuff but some of my extended family had it. It was interesting and in the area they lived was not super fast but yeah. It actually downloaded the game to your "cart" that was plugged into the cable.
There are a whole bunch of websites/articles on how people figured out how to record the stream since it was basically "multi-cast" and not delivered directly to you. It was just re-sent over and over on a spaced interval for all of the "available" games in your area so you had to catch it at the right time to "download" it.
[Edit] I don't recall anything being free if you owned the device. That might have been true at some point but not where I lived at the time. You had to pay a monthly subscription or the device would not work at all. It also had a limit to the amount of games it could hold/run. If you wanted a "big" game you had to let it remove other games for the storage space.