The abolute best way that I have found is to use the ZiPhone unlocker. It is the easiest way to unlock or jairbreak your iphone or ipod touch. I have iphone version 1.1.3 and it jail broke the phone in just a couple minutes.

http://www.downloadziphone.org/win  For Windows

http://www.downloadziphone.org/mac For mac

The next part will be downloading and installing the game roms to your computer

You will need to install

NES, BSD Subsystem and Open SSH from your installer that should now be on your desktop of your iphone.

Then install

WinSCP to add you ROM files to your iphone

http://sourceforge.net/project/downloading.php?groupname=winscp&filename=winscp40 6setup.exe&use_mirror=superb-west

And here is the manual on how to use WinSCP

http://limitededitioniphone.com/windows-guide-to-using-winscp-with-iphone/

 And Finaly  here is a great location for Nintendo ROMs for the iphone

http://www.theoldcomputer.com/Libarary's/Emulation/NES/ROMs/NES_roms_summary.htm