No, you don't buy the ROMs, you load them onto the CompactFlash card, stick that in the Power Pak, and stick that in your NES.
Surprisingly quick shipping (at least compared to the other things on queue coming in the mail at the moment), as my brother got it today. Or rather, I'm pretty sure it's there on his desk, when he gets home, I'll let you know how it is...though if it works, I expect it'll be the same as the video review above, as in yay, great, highly recommended, etc. Not a whole lot of surprises, really.