Emulators are programs that allow your phone to play games that were meant for other systems like NES, SNES and GAMEboy. There are tons available in the android market, just search "emulator" and they will pop up. Many of them are free!
ROM's: Roms are the actual games backed up from game cartages or other media. Read this post on the legality of ROMS. I don't really know if its legal to download a ROM of a cartridge you own so you can avoid having to back it up yourself. If it is, a great place to get them is theoldcomputer.com , just make sure your popup blocker is on because they have a lot of ads.
Once you have your emulator, and some ROM's on your SD card you are ready to use your Game Gripper!
All the emulators are different but generally you just push menu and look for a keypad mapping selection. Once in it, you just go down the list (up, down, left, right, etc) pushing the buttons on the Game Gripper so the emulator knows which ones to use.