Sounds like you dont have the required directory structure. On the root of your card you need a folder called roms and in that another folder called a800,
eg. G:\roms\a800
within the a800 folder you have 6 folders, disk, exe, menu, os, rom, state
You need the atari OS roms in the os folder, games like .atr files go in disk folder
The executable atari800.gpe i think has to be on the root of the card
eg. G:\atari800.gpe