First of all ya'll want to open it up properly. If ya file types aren't assosiated properly then ya'll just have to open it the proper way. Open up your emulator and go to Menu -> File -> Open. Now browse to find the directory where your ROM is. Now click on it, and then click on open, the ROM will now start.
Second of all, in order to get Pokemon Fire Red to work ya need to make it run with the patch. An '.ips' file should have come with your ROM download, put it in the same folder as Fire Red then go to your emulator and select Menu -> Options -> Emulator -> Automatic IPS Patching. You should now be good to go. Press Ctrl + R to reset your ROM (Or go to Menu -> File -> Reset) and go and play. Be good.