I'm assuming you want to use the Gameboid emulator, so here are the steps for that:
1) Download Gameboid from the Market.
2) Download the gba_bio.bin file on your computer (I got it here:
gba_bios.bin)
3) Hook your Droid up to your computer with the USB cable, pull down the notifications window and select "USB connected" and then Mount.
4) Go to your SD card and create a folder (I used "games") and then a folder for your Gameboid bios and roms (I used "gameboid") so you have sdcard/games/gameboid.
5) Copy the gba_bios.bin into the gameboid folder.
6) Download .gba rom files for the games you want and put them in the same folder.
7) Turn off USB Storage, open gameboid, navigate to your gameboid folder and load the rom.
8) Start playing!