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NesMusic is a music player application, it plays nsf files and gbs(game boy), vgm(megadrive, genesis, master system, game gear), rsn(super nes), hes (pcengine), VGM files must be in a zip archive or 7z,  HES must be in zip archive with m3u associated file or in a 7z,
Most of the time those files come in zip files or 7z so you have nothing to do

To add files into app you have to use Itunes files sharing

or you can download files with safari directly on your iphone