Emulator is a program that runs mostly in RAM (Windows environment) when executed, and requires the use of ROMs which are games for the emulator software. ROMS are like the game CDs you buy from the store, but you get them free. They are reduplicated and written for the PS1 or PS2 emulators. The mame one is good, but can't find newer ROMs for it. Go to the link mr. monger gave out and there are some mame you can download.
Depending on the type of emulator used, they may require the storage of ROMs in the parent directory of the emulator files used or anywhere on the hard drive.
Emulators are like simulators if that makes sense. It simulates a SNES, PS1, PS2, XBox, etc, environment and the original codes for those games are copied over to the emulator to play. I have no clue how they do it or how it was written, but it's just fun being able to play game consoles without buying them.
*Fact: Microsoft Window's Blue Screen of Death vs Computerforums.org's White Screen of Death. Which is worse?