Did you put on a real Atari OS? Not much will run with the emulated OS. About 3 games iirc!
The directory structure you need is:
/gpmm/
a800/
disk/ (disks)
exe/ (exe/com program files)
menu/ (Standard and custom input configuration -> without these you can't even use the menu)
os/ (OS ROMs for various types of Atari - 5200.rom, ataribas.rom, atariosa.rom, atariosb.rom, atarixl.rom)
rom/ (Cartridges - e.g. 5200 games)
state/ (Just an empty dir for save states)
Also is there a reason you are using v0.4? v0.7 is the latest and much better IMNSHO. Suggest you go to my site and grab the full archive, which comes with the above directory structure in a zip -> just need to copy it over. This comes with the OS ROMs etc.
Thanks,
Mark
http://www.scrameta.net/a800.html