Mame (Multiple Arcade Machine Emulator) has been around for a few years now with each release playing more games each time.  Once you have Mame installed, you will need game roms in the roms directory of mame.  It's difficult to find roms directly on the internet, so I suggest using a download program like Ares or DC++.  You should read the Mame Disclosure as well.

Just think of Mame as a home console system and the roms you have as cartridges or CD's for the console.  The games emulated by Mame are identical to what was (is) in arcades.  The original arcade machines had a microchip on the system board containing the rom.  Mame's rom is exactly the same, only in software (not hardware) form.