Please Help

You press the A button after starting a new game and choose the file. I'm sure there are dozens of references about this here.

it's like this: you open zelda classic, then register you name, then highlight your name and press A. this will bring you to another screen. here, if you press enter, you will begin playing the First Quest. lower down, it has:
A = Play Costom Quest
B = Cancel.
needless to say, you must press A. another screen will pop up and you have to select the .qst file you want to play. press "OK" and it should work.

edit: there's a much more in-depth resume of how to do this frozen in the "ZC discussion".