Ok well first which version you tried to use? Either way just use the latest SE version that can be found here:
http://www.sch3rz0.com/nesterdcse/
Then take the time to look at the documention, aka readme files. And yeah you can do a CD with the emu and games all on the same cd. In fact that version even lets you download and view the box arts, manuals, and screenshots of most of the games. And other features.
Just take the time to read everything there is included with it and it will be allright.
Bookmarks