If you want to make your own ROMs from the physical copies of games that you own, you can through a process called "dumping". That being said, the process of dumping will vary from console to console. For example, dumping a Sony PSP UMD requires a PSP running custom firmware and a PC. Dumping a NES cartridge, on the other hand is a bit trickier. You will need an extra piece of hardware to connect your NES cartridge to your PC.