Don't use JNes. Use NesterDC, it's better in almost every way.
Get NesterDC plain files off of DC Emulation
and also get JimNESboot. you put the roms in the games directory that will appear after you extract the plain files to a folder.. Then you should be able to run JimNESboot's batch file and either make a nero or CDI image. JimNESboot should be very self explanatory. Alternately, you can just DL a NesterDC nero or CDI image, burn it, then also burn a disc with a bunch of roms. Boot with NesterDC, when it finishes loading swap discs.