An NES ROM is a full copy of an original Nintendo Entertainment System game that is playable on your computer or other electronic devices that have an emulator program. A WAD file is a file used on the Wii console that is usually installed through the home brew channel modification. Making a ROM into a WAD requires the use of a file injector, which places the ROM file within the WAD file. A couple of well-know file injectors are: Impalers WAD Injector or Auto Injectuwad Injector v3 (see Resources).
Open up your injector program. Make sure that your ROM file and WAD file are in the same folder. The ROM file is the game you want to play, and the WAD file is a shell file for the game.
Select the ROM file that you wish to use under the "ROM" selector of your program.
Select the WAD file that you want using the "WAD" selector of your program.
Click "Inject." One or two screens will pop up asking you to confirm your choice. When it is done, your new WAD file will appear in the "Results" folder that the program creates.
To play the new WAD on your Wii, burn it to a DVD with a DVD-burning program or store it on a USB flash drive and transfer it to your Wii. You can then access the WAD from the home brew channel.