Sonic the Hedgehog 1 is the first ever game released in Sonic's lineup. Pretty solid for his first impression. This particular version is an official remaster by SEGA, but ported to browsers by fans.
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If you just want to play, click the Play Online button. This game must be on a website to run - it will not work if ran as a file from your PC.
Just open the .html file. It's that easy.
If you just see a bunch of text, do a right click then select "Save As"/"Save Page As" etc.