itch.io

There aren't any dangerous NES emulators among reputable, reasonably modern free open source (FOSS) ones. The NES emulator I played the most was PocketNesterPlus for the PocketPC but for the PC, I'd pick out 3 accurate, well-known emulators, each the best for a use case:

• FCEUX
  • gold standard: lightweight, feature-packed
  • classic PC program design
• Nestopia
  
  • user-friendly
  • modern design
• RetroArch
  
  • comprehensive frontend for various emulators (typically uses Mesen, FCEUmm or Nestopia for the NES: first install one of these cores and then you can open the ROM file)
  • enables you to use your PC as a retro gaming powerhouse with a console-like interface
  • great for massive game collections for various old platforms
  • available for Android with mobile-friendly interface
• Bonus: emulator to play online on itch.io (it is free and open source too so Megacat Studios could bundle it with the game's ROM and add a play-in-browser version)

The notion that emulators may be unsafe or illegal is propaganda by console manufacturers. In reality, emulators are no less legal than playing on original hardware, with the added benefit of not needing a TV with RF input and a flash cart to load the ROM, plus savestates, portability etc. The NES is just a rather simple computer architecture whose patents ran out in 2003-2005 so clones and emulators exist legally. Only software, protected by copyright, would be a concern, and the NES itself includes no software (the Famicom Disk System does but that has been reimplemented legally in a "clean room"). Both emulators and (modded) original hardware can be used to play illegal copies of games: however, if you bought Little Medusa standalone or as part of the Game Industry Hardship Bundle, you're in the clear. The fact that this game is "unlicensed" only means that Nintendo hasn't given it a stamp of approval and provided the official lockout chip key, therefore hacks have to be used to play on original hardware (one is presumably included in the cartridge version). As for safety, emulated games distributed as ROMs are safer than native games since the the game code runs inside a sandbox and the "sandbox manager" (emulator in this case) is a well-maintained piece of software, as opposed to when the game gets bundled with a specific version of a proprietary engine that may later turn out to have bugs or exploits. Additionally, not bundling the game with an emulator adds flexibility, for example I can play on PocketPC that nobody would otherwise release a game for, or I can TAS the game (not possible on native games for modern Windows).