It is not in the nature of an emulator to come with the games. You have to get them yourself.
Open Project64, and choose the "Help/User Manual" command. Choose the "Installation/Installing Games" topic to read more information regarding getting Nintendo 64 games a.k.a. ROMs.
There are websites that host ROMs, but this site is different with rules to me, and I don't think I can tell you what those websites are.