First, the emulators. You'll want
nesDS for NES games,
SNEmulDS for SNES games, and
Lameboy for GB/GBC games.
Copy the emulators to the root of your memory card (they won't work if you put them anywhere else). For nesDS and Lameboy you just need the .nds files. For SNEmulDS you need both the .nds and .cfg files.
Create a folder in the root of your memory card and name it
SNES (note the caps). SNES roms go in that folder.
GB/GBC roms can go anywhere on the card, but if you create a folder called
Lameboy (also in the root of the memory card) and put them in there the emulator will find them automatically.
NES roms can go in any folder.
SNEmulDS works fairly well for a lot of games, but you need to fiddle with the settings to get many games to a playable state.
In both nesDS and Lameboy you must write the save data to the save file manually (I'm not sure if you need to do this in SNEmulDS). Save normally in the game, then use the 'Save SRAM' option in nesDS, or press
X in Lameboy.
You can bring up the menu in nesDS by touching the touch screen.