Many emulators require files that are not included in the package you downloaded. Be they BIOS images, disks images, or DOS extenders, it can be a pain to try and find them on the web.
With this in mind, I've compiled a list of them which you can download from here. Note that emulators may not exist for all of these yet, but they're here for when they are!
Please only download ROM and disk image files if you own the original machine or software. I can not be held responsible for any misuse.