It's super easy, honestly. All it takes is an emulator program and a ROM file to be loaded by the emulator. Any emulator-specific questions can be answered by each project's FAQs generally. Totally worth it, especially if you have a gamepad!
Currently my two favorite sites for all this junkz:
http://www.emulator-zone.com/-- links like every working emulator everrrr.
http://www.romnation.net/srv/roms.html-- tons of sites for ROMs, this is just a random pick, really. lol