You can do a one-click link and be playing a pirated game on the PC, without leaving your chair.
Not quite that simple. After downloading the game, you have to extract it from its compressed format, mount the disc image, enter a CD-key if necessary, install the game and copy the crack file(s) into the proper directory. Some games require more extensive measures depending on the protection scheme used.
Console games, on the other hand, are generally much easier. Once you've flashed the hacked firmware onto your console, all you have to do is burn the pirated game onto a disc and pop it in. Sure, there's the risk of getting banned from Live! but Live! is a piece of crap anyway so that's no biggie.