The Jargon.
What is a WAD?
A WAD is the Wii's Virtual Console game format. eg; zelda.wad

What You will Need:

1.  A Wii console with a Remote and nunchuck (you don't have to have a modchip for this to work)

    The Wii menu version needs to be lower then v3.3
2.  SD Card
3.  Zelda Twilight Princess Wii Game (if you have a modchip a copy will do)
4.  This download.'The Auto Install Package' It contains Pal Games and the install (The auto installer is above)
    and uninstall software needed
5.  Some way to read and write to a SD Card on your computer(A card reader)

What you need to know:

After you update your Wii to the latest update (18/6/08 v3.3) you will not be able to use this methed to install Wads.

But if you install The HomeBrew Channel or HomeBrew luncher to a channel on your wii you will still be able to in stall Wads.

Even after the update.
These games will only work on pal consoles, they will not work on jap or ntsc consoles. 
As always You do this at your own risk. I have tested this over and over again and have
had no problems.
Once installed the WADS should be only removed with a WAD uninstaller(included in the auto installer)

The Steps:
1- If you want to keep old zelda save, copy it to your sd card now and copy it to
  your pc or use a second sd card for the hack. This hack will delete your old save.

2- Prepare your sd card making sure your sd card is fat not fat32 formatted.

3- copy contents of 'The Auto Install Package'to the root of the sd card

4- Copy the wads you want to install from the 'Temp wads' folder to the wad directory
  The Auto Installer will install all the VC games that are in the folder called WAD
5- When your happy with your selection of VC games. Remove sd card and insert into the wii
  (Behind the little door thats below the DVD drive) (Eject the sd card from your computer by right clicking on the drive
  in explorer My computer and click eject (can cause problems if you don't do this). This is for windows only,
  if you are on linux or mac just right click the sd card on your desktop and click eject)
 
6- Turn on the wii, go to data settings, wii console, find your Zelda save and delete it.
 If you never played Zelda before create a save in the game (the wii needs to have the save
 on there at some point) and go back to the menu and delete it. Go to the sd card and copy
 the hacked Zelda save to the wii.
 
7-Load zelda and you will see the the hacked save file load it. When you load the save you will
 see a man in front of you. Either talk to him or just turn around and run backwards, either
 way activates the hack.
You will see 2 Options. The first is WADIN This installs WADS to your Wii.
The second is WADOUT this uninstalls WADS from your Wii
 The screen will go black and will tell you to press reset to start the installer. Do it!

8- If all goes well it will say what it's copying, if you get a bunch of hex values and the
  words "CODE DUMP" then there was an error and you will need to try copying the files again
  or try another sd card. Some people get this error if they have not ejected the sd card properly.
When its done it will say press reset to reboot the wii. Do it!

9- Your new channel should be accessable from the menu. It can be removed the same way as you installed them.

helpful hints
Once installed copy the channel to a memory card for easy install and uninstall next time.
(once installed on a Wii the WAD file will have the correct encoding for that Wii. So you will be able
to just copy to and from a memory card with out the need to use the hack above)
Enjoy

This is a helpfull link of a video on how to install WADS
http://www.megaupload.com/?d=63ZPTJGW

How to install VC games to your Wii for FREE