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Snesorama.us
you either buy your games in a store, or you download them from torrent sites, which is considered illegal by most people. Assuming you mean "illegal downloading" you'd have to find a torrent site (such as mininova, torrenz, isohunt, you name it) and download the game using a torrent programme. You burn it on a DVD and put it in your wii (assuming that you have already installed the appropriate software, if not, try googling "homebrew channel" and follow the instructions)
You can download it at http//pspiso.com/
piratebay,isohunt,mininova,just about any torrent site out there has it.
A piracy site is a place where you illegaly download music, movies, games, software, etc. that are copyrighted. You can be sued for downloading movies through bit torrent trackers, Limewire, or other sharing sites.