@Avikus one thing to try is to put your tv in game mode. Dont use cheap usb extension cables or too long of cables. There are probably some stuff you can do on the pi but i dont know what they are. Plus we need more details of what emulators and games you have lag on.
Grab Win32DiskImager and it's really easy to do. It's not drag and drop like most things in the windows world are, it's more like burning data to a CD/DVD in that you need a program to "burn" (really just writing raw data) the image to the SD card.