Emulators are programs that simulate game systems on your computer. If you just wanted to get started with NHL, the 'downloads' page on nhl94.com has everything you need. Just download the emulator you want (Gen or SNES), then the ROM (.bin for Gen or .smc for SNES).
For instance, if you want to play the SNES version, you would download one of the SNES emulators (I prefer SNES 9X), then download the "Default NHL94.smc File". After you unzip the emulator zip file, it will give you an exe file. Just run that program & go to "open ROM" & select the game you want.
If you want to get into more emulation www.zophar.net is a good place to start. It has emulators for every system imaginable (but you will have to find the ROMs elsewhere.