Possibly more detail needed.
I don't know the fMSX menus exactly, but typically I think you need to insert a ROM or floppy disk image into the appropriate cartridge or disk slot and then hit the button or command to turn on the emulated computer.
Also for cartridge games, you would need to know which mapper the game uses.
As I understand, that information is not included in ROM images, so either the emulator would have to use a database to detect known dumps, or require the user to somehow figure out the correct one. I use BlueMSX which seems to have a DB to auto-detect known games (though it won't work for hacks/translations. Would generally need to load up the unmodded version to see which one, and then manually select the same for hacks.)
May also need BIOS files, which you have to find on your own.
Again, I use BlueMSX which has its own freeware BIOS included.