Well, I'll start by saying that the honest thing to do would be to purchase them legally from ZUN. Support the genius who created this wonderland for us.
If you're intent on downloading the games instead, you can obtain them via any number of BitTorrent websites. Type "touhou torrent" into your search engine of choice to find some of the more popular torrents. If you don't know how to use a BitTorrent client, well, that has nothing to do with Touhou. Ask on a torrent forum.
For the doujin games, it's pretty much the same deal. Either available from the developer's website, or available via torrent. Some are less popular than others and take some digging to find. Some may not have any active downloads/seeds at all. And not all of them have English patches available so if you can't read Japanese you may reconsider your efforts to find the game.