Reading through the documentation here I found that slax needs the modules 'activated'. To 'activate' a module you can perform a reboot or use the Software Center to manually activate it. The documentation also notes you can activate the module from the command line:
slax activate [ file or name ]
Afterwards, you should be able to run it like normal Linux software. If you are lucky, your desktop environment will automatically add an entry to the menu and you can click and enjoy. Otherwise, open a terminal and type the name of the software (always one word).
As for breakout working, I think you mean lbreakout2. First you will need the module that it 'requires' (the dependency) which is sdl. So you can install it from the Software Center or download it manually and place it in /slax/modules/ and do a reboot. Repeat the process with the lbreakout2 module. It should now be visible in your KDE menu. If it isn't, just type
lbreakout2
in the command-line and enjoy!