these posts are what is wrong with forums...
C'mon, we have SSH, AFP(d, bonjour), and I don't even know how many other hard-wired methods that are floating around these day's that give you access to the root filesystem.
I am willing to bet that 98% of them are explained on this site alone....
But because noob's outnumber everyone here I guess I'll explain it.
The easiest way is:
1. Install SSH on the device.
2. Use SFTP (with the program of your choice, I use cyberduck) to create a connection to your device and loging with
Username: root
Password: (firmware dependent): 1.0.2 : dottie ; 1.1.1-1.1.2 : alpine
3. Open the /Media folder and create a new folder called /ROMs. Inside that folder create another new folder named /NES. Place the .rom files in the /NES folder.
4. Start playing.