There are two ways to play NES games. I will explain them in a moment. But you will need the Homebrew Channel, Twilight Princess etc. Unless you plan on just buying the games at the shop channel.
Method one: wad.
With wad manager (search on the forum how to use it) you can install games from the shop channel. I think this gives you better quality, but not all games are on the shop channel. This also gives you a channel at your wii and costs system memory.
Method two: emulator.
With an emulator you have to download roms of the games you want to play, I believe the program of the emulator is fceu. You can add that in applications. You put the roms in the roms folder of the fceu map, then load it via homebrew channel. Google it for more info. The plus sides are that it costs no wii memory and you can play almost all games, the downside is that the quality may be lower then method one.
Personally I don't play NES games, but I suggest method two so you get more games.