What exactly am I to do with all the files in the folder I downloaded which is supposed to contain WLA-DX?
What exactly is included? If it's the whole bunch of WLA-DX programs (like for Z80, GB-Z80, 65816, 6502, wlalink, etc.) Then I think the only two you need are wla-6502 and wlalink to work with NES games. On the sticky here in the newbie help center, I have an NROM setup for WLA available for download. I suggest you study it a little, and it can give you ideas how to work with the assembler along with the rather crap documentation.