"all I've managed to understand is roms are a virual world created by code kind of like the matrix so I got a windows based hex editor"
What?
ROMs, give or take some online stuff, are a collection of the graphics, game logic, text, levels, music..... used by a game. Owing to various reasons most games use compiled code rather than a scripting language (considerably easier to change), there are some big exceptions on the PC and even some of the newer consoles. There is still enough similar logic between all games that some generic techniques apply to basically everything, however if you really want to make changes then you get to learn the hardware for the system you are hacking up to the assembly programming for the device. Most will start with the generic stuff though, romhacking.net has some stuff you have probably already seen. I have some stuff covering a lot but with a GBA/DS focus (they are really similar)
http://gbatemp.net/threads/gbatemp-rom-hacking-documentation-project-rewritten-for-2012.73394/
Do not be put off by terms like generic stuff as it will make learning the specifics easier and beyond that you can get really far in the text, graphics and sometimes even level editing world, on the GBA and definitely the DS this extends to audio/music as well.
As Darkipod said some games have tools and people that have already figured things out. Pokemon is by far the most hacked and with the most tools though some mario stuff, various final fantasy titles, Advance wars, chrono trigger (not the DS version so much) and Golden Sun do OK as well.
You might be able to infer some stuff from the SNES BOF series and there have been a couple of hacks for the GBA BOF you could look at, for the GBA though you would mainly be breaking new ground.
You can change anything you like with a hex editor but it soon gets pointlessly difficult. I will have to point back as the documentation though as it covers this sort of thing in far more depth. Hex editors are good but you are going to want a tile editor for graphics, a hex editor geared for ROM hacking/text hacking as GBA games rarely use common text encodings and an emulator like VBA-SDL-h (and also regular VBA/VBA-m just because).
Sadly the GBA has no filesystem so unlike the DS you can not explode the ROM out into various files, basically every non CD based console before the DS did it this way though so you are in good company,