The in-game menu allows you to insert tapes, load them and configure the display, joysticks etc.
The easiest way to play a game is to load a snapshot (.z80 and .sna files).
You can also insert a tape file (.tap and .tzx) and then load the file in the tape menu (it simulates the command Load "").
If you have problems with a .tap file, likely the TAP file has a program which uses a custom routine to load the blocks; in this case, try to disbale the "Tap fast speed" function.
If you want to speed up the tape file loading (both for .tzx file and .tap file with "tap fast speed" disabled), try to enable "turbo mode" which speeds up the emulator by 3 or by 5.