Sorry no one answered your question, the forum hasn't been too active lately so I haven't stopped by regularly.
You have everything installed for most regular games, but in order to play a few select games like Donkey Kong 64 and The Legend of Zelda: Majora's Mask, you need the expansion pack that extends the memory from 4MB to 8MB. It has a red top, and fits in the slot in front of the cartridge.
You won't be able to play your game until you install the pack. You can buy the pac, remover piuck and installation instructions by clicking this link:http://www.nesrepairshop.com/Catalog/index.php?main_page=product_info&cPath=69_80&products_id=878