As stated by s2325:
- go to Memory tab within the configuration menu
- click the '...' button, which is next to the label 'Image:'
- this opens a file browser window and you need to select a valid kickrom file
- retry starting the emulation
If above is still not clear, check out the following link (which is also specific for WinFellow):
http://guide.abime.net/gguides/winfellow.htm
Look for step 9.