Pretty sure you load the rom from the line menu, it's been a while since I used it though. Sometimes the compressed file can be read by the emulator, other times you have to decompress it first. It should be pretty obvious which one is the game file.
As far as I recall, VBA doesn't need much configuring apart from the controls. But if nothing works, try find a guide for the specific game you want to play. Some consoles are hard to emulate and individual games can require a lot of tweaking to work.