CD is short for "change directory": it walks you into a folder. Watch the prompt afterwards, because it changes to show where you now are: C:\GAMES>. The prompt is the MS-DOS way of always knowing where you stand, and it is why DOS never needed a pwd command.

DIR inside a brand new folder is a surprise: it is not quite empty. It always holds . and .., which mean "this folder" and "the folder above". They are how MS-DOS finds its way around, and they take up no space at all.