If you do have the emulator and rom downloaded 100% successfully just play it, load it up. You should be able to click on it and scroll down to play or something like that.

The F buttons help you "save states". Basically you can save a game at any point in time as long as you save it to one of ten states. F3 chooses a state, F2 saves it and F4 loads it. So if you know you're about to go into a boss battle and what not (with good health), hit f2 then after you die against it hit F4 and have another go at it.