If you head over to Google and search for 'Gameboy Advance Roms' you can find hundreds of public domain GameBoy Advance games for you to play. Ok, now you have your emulator (either VBA or VBALink - there are others but for this tutorial I will be using VisualBoy Advance version 1.7.2) you will need some games. It is based on the VisualBoy Advance source codes, so looks the same as VBA, but adds link emulation to it. If you want an emulator with multiplayer support, then you will need VBALink. Not only does it support GameBoy Advance games (GBA ROMs), but also GameBoy (GB ROMs) and GameBoy Color (GBC ROMs and SNES Super GameBoy).
It has a large list of features and high compatibility. For GameBoy Advance, the best one is VisualBoy Advance.