Here is an amusing concrete non-determined game, under the assumption that the dependent choice principle fails.
Assume DC fails. This means that there is a set $X$ and a binary relation $R$ on $X$, such for every $x\in X$ there is $y$ with $x\mathrel{R} y$, but there is no sequence $\langle x_n\mid n\in\omega\rangle$ with $x_n\mathrel{R} x_{n+1}$ for all $n$. In other words, the tree of finite sequences that accord with $R$ has no leaves — every node can be extended one more step — but there is no way to iterate these steps and the tree has no infinite branch.
Consider the game on $X$ where player I plays a point $a$ from $X$ and player II responds with $b$, and player II wins just in case $a\mathrel{R} b$; otherwise player I wins. So the game is over very quickly, after just one move for each player. (If you insist that games should have infinitely many plays, then you can continue with infinitely many irrelevant moves.)
Player I obviously cannot have a winning strategy, since whatever point $a$ is played, there is a way for II to defeat it by playing some $b$ with $a\mathrel{R} b$.
But player II also cannot have a winning strategy, since any such strategy would provide a choice function on the $R$-successors of the points in $X$, and any such function could be iterated to thread $R$, whereas there is no such infinite thread.
Since the game is an open game (in fact clopen), this argument shows that one cannot prove open determinacy without DC. The usual proof of open determinacy uses DC, when showing that if a position does not have an ordinal rank, then the closed player can avoid losing by maintaining rank. But in order to do so, that player needs DC to find the infinite thread of rank-maintaining moves.
Update. As noted in wojowu's comment below, this example can be adapted to prove the following theorem.
Theorem. ZF proves that there is a non-determined set. Specifically, in ZF we can prove that $\text{AD}_{P(\mathbb{R})}$ fails.
Proof. First, let $F$ be any family of non-empty sets, and consider the game where player I selects some $A\in F$ and player II selects some $a\in A$, and the first player to violate either requirement loses. Clearly, there can be no winning strategy for player I, since if such a strategy directed player I to play a particular $A$ in $F$, then it would be defeated by the strategy for player II to always play some particular element $a\in A$. Conversely, observe that if player II has a winning strategy for the game, then we would have a choice function for $F$. So any violation of AC leads immediately to a non-determined game. In particular, if choice fails for families of nonempty sets of reals, then we get a violation of $\text{AD}_{P(\mathbb{R})}$. On the other hand, if choice holds for such families, then the reals are well-orderable, and we may construct a non-determined set for binary play. So in either case, $\text{AD}_{P(\mathbb{R})}$ fails. QED
Regarding the remarks below about constructing an "explicit" game, one can easily do this as follows.
Corollary. In ZF we can write down an explicit definition of a non-determined set.
Proof. Consider the game where player I chooses either (1) a well-ordering of the reals, and then the rest of the payoff set is as would be constructed for a non-determined set by the usual argument given such a well-ordering; or (2) a family $F$ of nonempty sets of reals having no choice function, with player II then picking an element of the family and player I playing an element of that set, as in the theorem (but with the players reversed). This gives altogether one big payoff set, explicitly defined.
Note that player I cannot have a winning strategy, since he cannot have a strategy for the resulting play in case (1), as the game is undetermined, and he cannot have a strategy that wins by placing him in case (2), since any such strategy would have to provide a choice function for $F$.
Conversely, player II cannot have a winning strategy, since player I can play either a family with no choice function, in which case it is hopeless for II to play with particular element of the family, or else AC holds for all such families in which case player I can play a well-ordering and a non-determined game, for which player II can have no responding strategy. QED