I have installed the GFCE Emulator, and I have saved the Zelda ROM form called mupen64plus-bundle-bin-32-1.99.1.tar-1.gz. But how do I handle it? Can I, and if so, How do I install it and then run it with the emulator? How do you run the install script, and where do I extract the files, because it does not seem to work. Help would be much appreciated...

First test the tar file to see what it looks like and if it works okay:

tar tvfz mupen64plus-bundle-bin-32-1.99.1.tar-1.gz

This will print out a list of filenames, but won't actually extract any files. Pay attention to the list of filenames, see if the files will all be in one directory, or if they will all be put in the current directory.

If you can't figure out whether the files will be in their own directory, you could make a tmp directory and do a test extraction in there:

mkdir -p ~/tmp/zelda
cd ~/tmp/zelda
tar xvfz mupen64plus-bundle-bin-32-1.99.1.tar-1.gz
ls -la

See how it goes.