It's perfectly legal to use an emaultor to play games. To be legal you'd have to own the actual system so that you could get the bios(actually I don't think you need the bios for GC emulators), plus you'd have to copy your own games to your computer yourself in order to be legal.
If you arn't doing that, then you're illegal, not the emulator.
So basically it's only illegal if you download more then just the emulator.If the emulator is the only thing you downloaded it's perfectly legal to use.