Illegal, and copyrighted.
If you have the game from what i have read no but without the game you can but it hardly ever happens
No, but you can't download it. You can only download Game Maker (GM), which is also not illegal.
You can do it, however if the game is copyrighted then it would be a violation of federal laws and by downloading the game you would be commiting piracy. Any game that is NOT copyrighted or is otherwise freeware can be downloaded from a miscelaneous download source like download.com
You need an emulator, and a ROM, which are illegal if the system being emulated is copyrighted, or if the game the ROM is of is copyrighted.
that's illegal
That is illegal.
If the game you're playing is copyrighted, it's illegal. None of them are, sorry.
If you just download a Rom and you don't have the real game it's illegal.
It is always illegal to download anything if you did not but it from the company that sells them.
That is illegal.
There is no such game by that name at this time (December 2010). However, Nintendo has copyrighted the name in advance, so any game by that name is not only fake, but illegal.