Nope, emulators are created by reverse engineering. Basically the authors find a completely different route to the same destination so no copyright code is used or reproduced. Its also one of the reasons why emulators can take so long to develop and contain bugs, glitches and things which don't work as well as they did on the original console, as the authors are having to re-invent the wheel without using anything round.
Of course some emulators don't reverse engineer everything meaning they need the original bios to function, but you'll notice those emulators never include the bios as part of their internal code or as part of the emulator download working on the presumption that any users will extract the necessary code from their own hardware obviously.