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I downloaded mega man (US version) off of an emulator web site, worked without complaining.

How do I do this? I have a folder on my C drive, it recognises it, I downloaded and extracted 3dn files, it detects the folder it is in, but no games. If I rename the file to .nes, it sees it, but won't launch.

Nope.

So, I have browsed the game files. There is no "roms" folder. Do I make my own? or am I being dumb?