Emulators often needs a bios file that is the software of the emulated machine. You need to put the roms in a directory with a specific name too. You need to search this files yourself, or use a converter in the original machine. This things come explained in the manual readme.txt.. If you find any emulator without manual, you can see the manual in other platforms like GP2X, Linux or Windows. But, each emulator is different and have a method to play the games. You must to ask for help about one emulator in particular.
Files needed by some emulators:
Gpsp ---> gba_bios.bin
LemoyBoy ---> (no bios)
Wiz-Cap32 ---> (includes bios)
MAME4All ---> (depends on the roms)
PSX4All ---> scph1001.bin
GnGeo ---> various files (see readme)
NeoCD4wiz ---> neocd.bin
Picodrive ---> eu_mcd1_9210.bin (or similar)
etc...