This is a lambda expression, which is essentially an anonymous function. Note the "=>" vs. greater than or equal to (">="). The => operator is typically read as "goes to".
A lambda has the following form: [parameters] => {code}. The curly braces are optional; you don't need them if the lambda has only one statement. Similarly, the parens around the arguments are optional and are only needed with multiple arguments. The types of the arguments for a lambda are optional if the compiler can infer them. Here are some examples of different ways to express a simple lambda that adds 2 values:
Func<int, int, int> add = (int a, int b) => { return a + b; }
Func<int, int, int> add = (a, b) => { return a + b; } // parameter types inferred
Func<int, int, int> add = (a, b) => a + b; // curly braces optional
The other thing going on here is an event subscription, which in C# uses the += operator. By adding a lambda function to an event, we are subscribing to have that function called when the event fires. Similarly, we could subscribe a normal function to an event:
private void OnLoad(object sender, EventArgs e) { ... }
...
game.Load += this.OnLoad;