Your child's brain is at work everyday. Baby's explore constantly even while sleeping.
To play with your small infant not much needs to be done. Simply talking with your baby, smiling, and cuddling will be all that's needed.
As your baby grows older you can play games like peek-a-boo and tickle tickle. Your child will even be able to grasp toys like rattles and such.
Do not concern yourself with how to play with your baby. Just enjoy them and observe what makes them excited. When their little legs and arms wiggle with delight and you see that smile on their faces you are doing the right thing.