Hi sean,
Thank you for posting your question here!
OpenGL is not something you download on its own. It is included with your graphics drivers. On Windows 10 your Intel HD Graphics 520 and NVIDIA GeForce 940MX already support OpenGL 4.6, so the issue is usually outdated drivers or the game using the wrong graphics card. To fix this install the latest Intel graphics driver from the Intel website and the latest NVIDIA GeForce 940MX driver from the NVIDIA website, then restart your PC. After that open NVIDIA Control Panel, go to Manage 3D settings, add the game.exe, and set it to use the High-performance NVIDIA processor. Since these are old games, also right click the game.exe, open Properties, enable Compatibility mode for Windows 7 or XP, and run it as administrator.
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Regards,
Angelique P.