Assuming you allready chose the games from the Welcome Back list...

*If you do not immediately select your free game after downloading
Welcome Back Free PS3? Game 1 or Welcome Back Free PS3? Game 2, you need
to perform the following steps in order to claim your free game:
1. Exit PlayStationStore
2. From the XMB?: select 'Account Management' -> 'Transaction Management' -> 'Services List' -> 'SCEA Promotion'
3. Select 'Welcome Back Free PS3? Game 1' or 'Welcome Back Free PS3? Game 2' (whichever product has remaining uses)
4. Select 'Select Content' button and select your game. -- From Sony's Welcome Back Site.