Having an emulator of a Nintendo 64 is fine, nothing wrong with it. Surely due to it not having any use to you. Though downloading video game ROM's is illegal, it's known as piracy. Only if you had proactively paid for anything you'd downloaded, only then would it be legal.
Law has to do with intent in many cases. If you download an emulator for a system you already own and only download games you already own it is legal. The point of an emulation was originally to be a backup for your game you already purchased. When you do play games on a emulator they should be games you have already purchased and owned.