Depends on the cartridge. Any of the ones with a battery save (like Zelda or Final Fantasy) need to be opened up, have the welded in battery clipped off the board, have a CR2032 socket soldered on instead, and then put a new battery in and reassemble.
It's a LOT of pain to get a NES cart with a dead battery working again. That's probably why they opted not to put a slot in this thing -- many people's dusty old carts are dead, and not knowing any better, they'd blame the new console.
Then again, when I was 12, my elders we're a very different set of folks.
And while overall most NES games didn't use a battery, many of the most popular ones (many of the ones included in this thing, in fact) do need a working battery. Final Fantasy, both zeldas, startropics, tecmo bowl, crystallis, kirby's adventure...
Are you thinking of some other game?
I hope (and assume) it could be updated somehow though e.g. usb or micro sd
http://nerdist.com/we-blow-into-video-game-cartridges-becaus...
http://mentalfloss.com/article/12589/did-blowing-nintendo-ca...