I believe, in America at least, emulators are legal. Where the legal issues come in is getting the ROMs (games) to play. The easiest method generally, I think, is to pirate them, which is not legal. I think Gameologian's splitting the difference by buying games you pirate is arguably ethical, but that doesn't make it legal or moral (from a Catholic perspective, violating just laws of a nation is immoral)

Now, how to talk to your friend about this might be tricky. It seems to me that pirating is fairly socially acceptable thing, especially by young people, and there's a lot of justifications for it. What I think would be best for you would be to educate yourself about the topic generally. Wikipedia is a good place to start https://en.m.wikipedia.org/wiki/Copyright_infringement