GREAT..i have to appologise
when you say a bunch of files..
what are those files? is it a bunch of ZIP or RAR files?
with names like yugioh_01.rar , yugioh_02.rar, yugioh.sfv
IF YES
create a new folder on your desktop
drag all those files from the downloaded .rar/.zip to the newly created folder
go into the folder and double click on any of those .rar/.zip files
you will then see yugioh.nds inside any of those .rar/.zip files
just drag the yugioh.nds to your desktop
you will then see a menu showing you the progress. After the process you should then see yugioh.nds on your desktop
IF NO
you should take a screenshot and show us what are the files
so we could have a better idea on what is happening