Microsoft has finally renamed their Xbox Live Marketplace to Xbox Games Store. Microsoft begun aligning their Xbox services strategy few months back and since then they are making changes in branding, etc,. The newly changed Xbox Games Store brand is in line with the Xbox Music Store and Xbox Video Store.
Rather than the old way downloading everything from Xbox Live Marketplace, the new Xbox Games Store will allow gamers to browse all titles, and either purchase or download them to their console. For videos, music, etc, you need to download from respective store.