Have you got the freeloader?
You need to register at Gamepark's site and get hold of a copy of the freeloader and install that (file-->Install on PC-Link). Then you put anything with a .fxe extension into the GPMM directory, and go to "games" on the gp32... you'll see the freeloader listed - go for that. Then a menu will come up with the nes emu available. Also, you'll need to put the NES roms in the right place - probably gp:\\gpmm\nes\ but I'm not sure; check the readme.
If you get tired of using the freeloader, you could switch to mr_spiv's combined firmware, but that involves flashing, which is risky and easy able to kill your GP32 - although recently a lot of people have been doing it sucessfully. I've only heard of a couple of cases where they lost GP32s, but still worth being careful.