You can use the WTK,
java.sun.com/products/sjwtoolkit/download-2_1.html, to capture your midlet pagaes.

Also Symbian SDKs are available to download:
www.forum.nokia.com/.../index.html
You can run  some scripts to execute your sis files on emulators.

In addition, for specific cell-phone brands such as LG, Samsung,... some emulators  are offered;
for example, Sony Ericsson has delivered developer.sonyericsson.com/.../p_java.jsp as an j2me ToolKit.

However, at first you need to choose the platform on which your application should be run.

Thank you for your reply on this topic!

"... The production release of the J2ME Wireless
Toolkit 2.1_01 supports the development of
Java applications ..."

"... Nokia provides tools for Javaâ„¢ developers
to create mobile  applications ..."

I don't want to write Java ME or Symbian OS apps.
I just want to run  available games and apps  in a virtual
machine and test  them for a specific condition. It is hard
to install them on the real platforms.
Any help?

most of j2me toolkits (including those others mentioned) have a java  cell phone emulator.
just download one of them and run  your j2me application on them.

my answer does not apply to smartphones (symbian OS) but for feature phones (Java phones) its not hard to use the real platform. you can install relevant application loader (relevant to your phone vendor) on your PC and then connect the phone to your PC and through the application loader, transfer the game onto your phone.

otherwise, as suggested by others you still should be able to use Java WTK or CoreWorrier IDE and utilize their simulators to your your game.

Should you have the PC version of your available games and apps, you can use these tools' emulators.
But I guess you have the mobile  version of your files.
There is a difference between the mobile ver and PC ver of an application.
For example, a pc version of a mobile app has been compiled with windows based APIs and because of that an emulator  can run  it!

For general app programming on cldc/cdc,... profiles use net beans IDE.
Every mobile  producer has its own set of tools for mobile/J2ME developement. take a look at their own websites.