You load you your new game, and when you are offered a choice of difficulty you pick ...
This is the final entry in that series of topics I started a while back.
Strategy games are not included because I am working on the assumption that nearly all of us will play them on the hardest setting we can manage, excepting games which feature cheating AI. They are an entirely different topic, and I doubt I want to start that one.
I usually go with normal, unless the game is a FPS. My uber 1337 FPS skillz require me to play on easy.
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