What will a Emulator and Rom do to my computer?

I've read a lot about emulators and roms, and I wanted two games for the SNES emulator at coolroms.com. I generally know how to download the emulator and rom, but I don't know what it could do to my computer. Literally everyone has said coolroms is very safe, but does downloading this jumble up my hard drive, or install anything like even the smallest virus, or just anything? Or is it just a totally seperate thing that goes in a folder and doesn't even touch anything else?