Its a very interesting find to say the least..
1) Download any of the Nintendo NES roms from this section:
NES RomsExtract the downloaded .zip file anywhere you wish. The desktop is usually easiest as it makes it simple to find. Inside your extracted file you will find "game_name.nes" <--- This will be what you place in the folder on the PMP.
2) Inside the SD card or internal memory (not sure which) of the PMP there should be some folder either with the name: Roms, NES, Games or something along that line relating to the NES console. Copy/paste, drag/drop, or use any method you wish to move the "game_name.nes" files into that gaming folder.
3) On the PMP, navigate to the Game part of the player and start it up.
4) Thats about as far as I can get ya from just general knowledge of gaming systems and file structures of media players. If you need more help, feel free to give us more info about what you have by any means possible. Pictures, file structures, info manuals, the about screen or copyright section inside the PMP menu.
We will help you through this until it gets solved