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If you really want to learn French and cannot afford to study abroad in France, you have to do it the old fashioned way. The only way to truly immerse yourself via video games would be to play something like World of Warcraft on a European server (even then, there's no exclusively French servers...I've tried).
I know it sounds fun at the onset to play Pokemon in French, but you will get frustrated and just wish it was in English. You can't really learn much from a bunch of static dialogue. It doesn't teach you grammar, and a Pokemon game is not the best vocab tool.
There really isn't a "fun" way to learn a language. On that note, don't learn French. I was formerly a double major, but I quit. French is as impractical as it is beautiful. It adds zero to your resume and does nothing for job prospects...unless you are specifically aiming for a French translation job, there are no jobs in the U.S. which benefit from being bilingual in French (unlike, say, Spanish) because any native French speaker can speak English better than you can speak French.
And since French is impractical and you will likely never find yourself in a position to use it outside of school, you are going to forget it all and make your time learning it wasted.
