Zelda Classic is a little confusing for first-time players. Custom levels are called "resources" you have to install, and you can only play them when selecting a save file. I also couldn't get ZC running without errors until installing DXGL, which forces some programs to use deprecated versions of OpenGL, and I only found that out by reading some forum posts on an unrelated website.
ZC uses graphics from NES Zelda, Zelda 2, Zelda gameboy, and Zelda ALTTP. There was some pretty cool variations, but honestly it was pretty bare and not necessarily user-friendly. You couldn't search for levels through the program, and had to manually install them, and there were maybe less than 100 total to check out.
Honestly, I think BS Zelda 3rd Quest was a better way to check out updated graphics. Or Zelda Ancient Stone Tablets, a better way to see expanded levels of ALTTP.