Is everything on this site safe legal.
You can't guarantee everything is legal or free. Abandonware sites are for any form of software that has long lost it's support due to age and lost market share, but most of these titles have not been relinquished into a free/low-level use license (Such as GNU GPL) so they still retain copyright and are illegal to download. However do not let this discourage you as most of their parent companies have either not addressed this or simply do not care as the software is too dated.
If you are really paranoid about using abandonware then there are free software games that do support Windows. A good example of them would be 0 A.D and Cave Story. http://en.wikipedia.org/wiki/List_of_open_source_video_games