ROMs are essentially the NES game programs you use with the emulator. So for example if you wanted to play Tetris, you would load up Tetris.nes. The ROMs for NES end with the ".nes" suffix, so that should help with your googling to find them.
Once you've found them, you've got to upload them to your iPhone which is a whole other ball of wax.
Before I write out some long winded instructions on this, post a little more about your situation, and if you're familiar with using SSH, WinSCP or CyberDuck. Otherwise, we can use iShare as an easy alternative for moving the NES ROMs from your desktop to your iPhone.