It's under the Wii Shopping Channel, which should be on the main menu when you start the system up. Basically you acquire Nintendo Points (credit card online, or buy a card at retail and redeem through the shopping channel), download games, and play them on the Wii.
For regular NES games, all you do is turn the remote sideways and use it like a regular NES controller. There's also a "Classic" (SNES style) that plugs in where the Nunchuk goes and another one similar to the Gamecube controller; what you need depends on what game you're playing.
Currently, I have Bases Loaded, Mega Man 2 and 3, Final Fantasy, Street Fighter II Turbo, Tecmo Bowl, and a few others.
The best part is that if you stop playing in the middle of a game, it'll reload it for you at the exact point you left off. So if you get tired of Tecmo in the 2nd quarter of a game, just go back to the Wii menu and it'll be like you just paused it (even if you turn the system off).
