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Acquiring the game
While not strictly related to setting up the emulator itself, this gets asked fairly often, so it needs to be mentioned. You will have to acquire the game ROM on your own. I am unable to provide help as distribution of those is illegal.
Below are some checksums of known good files, which you can use to verify the validity of your ROMs. If you do not have a program to generate the checksums of your files, you can instead use the Usamune ROM patcher, which will also validate the file before applying a patch.
Keep in mind that .n64 or .v64 files will have different checksums than .z64 files, as those have different endianness.
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Getting the practice ROM
After getting Super Mario 64, it's a good idea to acquire the Usamune ROM as well. Aside from being an excellent practice and learning tool, it provides a numerical input display feature which will be helpful in determining the optimal range setting for generic adapters and non-N64 controllers later on. More detailed information and instructions can be found on the project's website below.