How does the Mess work?

Let me tell you something: The M.E.S.S. emulator is just that: A mess! Apparently, they were also trying to replicate the complex user-unfriendly interface of the old computers it's emulating.

Why can't they just make it plug-and-play simple, like the Visual Boy Advance, or the ZSNES?

Ok, here's what I'm trying to do: I'm trying to play the Coleco Vision game Montazuma's Revenge. I saw it on AVGN, and it looked kinda fun. I download the rom, and I move the file to the same folder that MESS is in. That's usually all I need.

But, when I try to load the emulator up, it just says "no coleco.rom file."

Where am I supposed to put it? Or, rather, what am I supposed to do?

Due to the number of systems it emulates, MESS requires a bios file for most of the systems. MESS is telling you that it hasn't got the Colecovision Bios rom so can't run any Colecovision games.
If you're using MESSUI then scroll down to colecovision in the system list, right click it. Use the menu to tell it where the coleco bios rom is located. Now it will run Coleco games.

MESS along with MAME is dedicated to preserving hardware accurately, its an archival project. The developers couldn't care less how user friendly it is or how many games work because that's not the ethic behind the project. The games working is a natural side effect of the work they do.

Emulators like VBA and Zsnes, while good in their own right were developed solely for people to play games with, regardless of how accurate they are in emulating the original hardware (not very TBH).