Games used in emulators are known as "ROMS". These are back-up copies of commercial games (games that cost money).
As these games cost money and are copyrighted, it is illegal to distribute them, and it is illegal to download them without owning an original copy. As such, emulators do not come with ROMs.
You can download them from places, but I cannot tell you where to get them. This is against the forum rules.
There is one exception though. Some games have been released as freeware. One place to get those is
www.pdroms.com.