You go to the installer app that came with the jailbreak and click the install tab. If there are not many apps, go under "Sources" and install the package called "Community Sources" and you will see many more programs.
I recommend both NES and gsPhone for games... there are a bunch of guides on how to install roms here on the forums. I think the easiest way to install NES roms is to go to sources in installer, click edit, and then click add and type "http://markmon.mine.nu:90/iphone/repo/repo.plist", wait for it to refresh, and then install the BigBoss NES ROMs package.