Ok, so clearly I am a fail at this, and in need of some help.

I got the Visual Gameboy downloaded, but now I cannot, for the life of me, figure out how to actually get games to play on it. Please help me.

You need to use Gameboy or Gameboy Advance Rom images to play games on it. The AUP on this site prevents discussion of or linking to Rom sites so don't ask.

Basically once you have roms for the games you want to play, you access the file menu, and select the game.