Hi, welcome to Tokugawa Corp. Forums!
First, if the game you're trying to play is a bunch of files you'll have to put them all on an image (it can be a floppy image if the size is small, or a harddisk image)
For this you can use
DiskExplorer, open a blank image then drag-and-drop the game files into it.
You probably don't have a blank image either,
here I uploaded a blank image along with an image with DOS on it and CD support (provided by someone on the forums, I don't remember who did n.nU)
Images has to be mounted on, that can be achieved usually by clicking the "mount" button and browsing for your image. Nowadays interfaces are pretty instinctive, really.
Well, good luck and hope to see you around soon!
~W
EDIT: Well, it seems that you've managed to make some images from the files.. maybe the booting DOS image can help you. Alternatively you can try with Neko Project 2 or T-98.