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I think I have resolved the issue with the following steps:
First need to install vs code then the "Desktop development with C++" workload
I then was able to install g++ with "conda install -c conda-forge cxx-compiler"
This then rectified the failed building wheel error and I was able to install nes-py with "pip install nes-py"
Then I could install gym-super-mario bros with "pip install gym-super-mario-bros".
I think you can just straight install gym-super-mario-bros without separately installing nes-py, but that is how I did it.
I managed to get it working by add the gym channel using - conda install -c conda-forge gym, this then allowed me to install gym-super-mario-bros using conda install gym-super-mario-bros. It also made it easy when it comes to the environment.yml file. I'm not sure about other methods, but this method allowed me to export an environment.yml file which can be used to easily recreate the virtual environment without having to download the gym channel. Someone else can create the virtual environment using "conda env create -f environment.yml".