I need some help on how to load up a Xbox XBE file

I really some help on how to load up an XBE file on the Cxbx emulator. I can not seem to load up the EXE file or the XBE file at all! And I really want to play some Xbox games a lot. Like whenever I try to load up the XBE file, it says Loaded!, adn nothing happens, it just sits there. I think I need to burn the contents to a disc. Is that the right thing to do? The Xbox game I am trying to get is Harry Potter and Prisoner of Azkaban. So please explain to me on how to open this XBE or ExE file for me. And get back to me as soon as possible like a little later tonight. Thanks a lot! :confused: