Ok, I see it's primarily an Atari computer emulator..
Have you tried reading the manual included with it? I admit you were right, it's not very user-friendly in terms of documentation and easy setup.
I messed around with it for a little bit.. You can press F1 to go into a menu and you have all kinds of options available to you. It looks like you also need to find a "os5200" ROM to boot the 5200's operating system, before you can even try to play a game. Wish I could be of more help