Well to have a pirate emulator and game isnīt always illegal, the game itself is illegal but to own is no problem. When you spread it however is illegal and to play is illegal (read, lawyers love this laws I have heard..).
As a phenomenon the emulators are ilegal since thoose games are protected under copywright laws that is more or less worldwide. Some countries still donīt have copywright laws..
If you own the original game is no problem. You can also find some emulators that are legal cause no one owns the rights or the protection has gone out/or the owner have agreed to make it a free license.
All pirate software is however seen as an illegal one though!
The laws are pretty strange around this subject.