There are numerous emulators available for the Raspberry Pi. Some of these are available through the App Store, others you need to download from a website and manually install, and then there are some which can be installed via Raspbian's package manager.
Emulators recreate how a game console works, but they don't emulate the games themselves. That requires the game data. When we refer to game files in this book, we are referring to the Read-Only Memory (ROM) that a video game's data is stored on. These can be cartridges, CDs and DVDs, floppy disks, and other types of media. Many are available as files you can download. Please be aware that copyright may still exist on these files and that not all are freely available.