Well, as you might know, commercial ROMS are illegal.
Free developed Hombrew ROMs are legal.
That's just for the understanding
ROMs do usually have the same extensions as their system like Gameboy Advance = file.gba or Nintendo Entertainment System = file.nes
If you have an Emulator on your PocketPC, you have to place the ROM e.g. in your Program folder on your device (or somewhere else the Emu can find it, if Emu uses gsgetfile.dll, you can place it anywhere).
Usually you then just have to open the file through the Emus selections menu and it'll start the emulation.
What problem is there with the transfer to your device?
You can not use the Emulators for the PC, only the ones coded for the Pocket PC will work (and there are also differences there, too like special versions for special devices like e.g. the one with support for x50v's 2700g)
You may want to view my EmuPage. It's German but it's the largest direct-download and up-to-date database for PPC Emus (although e.g. texts are not finished yet) and I'm working on an English version right now.
