Only illegal if you don't own the software allready.
Well if this exists then I guess there is no point in torrenting roms then.
Sure there is, that site doesn't have ALL the roms. Besides, I think before long there will be a legal issue with that site and Nintendo. So I'd suggest getting a program to retrieve the SWF files and save to yer drive(s).
EDIT: Actually they are Java Apps, so I dunno what I'd do with those.