Avoid sites that ask you to download .exe files or "installers." A legitimate NES ROM should be a small file ending in .nes or inside a .zip / .7z archive.
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Proceed with caution. Understand that you are engaging with unlicensed, copyrighted material. Use VPNs, avoid sketchy ad-filled sites, and consider donating to preservation efforts like the Video Game History Foundation. Avoid sites that ask you to download