To play Shining Force: Final Conflict, you will need an emulator that supports Game Gear emulation. You can download one from my emulators page. If you need assistance with any of the emulators offered on my site, check out my emulation help subsite: Video Game Emulation for Newbies.
Shining Force: Final Conflict (English)
This is the game pre-patched with the English patch. I'm saving you the trouble of patching the game yourself.
You will need a Genesis/Mega Drive emulator to play Shining Force CD. As for Shining Force: Sword of Hajya and Shining Force Gaiden, they require an emulator that supports Game Gear emulation.
Shining Force CD (U)
The Sega Genesis/Mega Drive remake of the first two Game Gear games: Shining Force Gaiden and Shining Force: Sword of Hajya. It's a beautiful game with a delicious CD quality soundtrack.
Shining Force: The Sword of Hajya (U)
The second Shining Force game for Game Gear; the one before Shining Force: Final Conflict.
Shining Force Gaiden (Japanese)
The very first Shining Force game for Game Gear. This is not available in English. However, via part 1 of Shining Force CD you can play it in English.