Ok. In case you downloaded a tape file (.TAP or .TZX) you do something:
1. Load up the tape in the emulator (this varies from an emulator to another, in X128 it is done pressing F7 and selecting the TAP/TZX file).
2. If you are in 128K mode (most likely) you'll have a menu on screen. Select "48 BASIC" if your game is for Spectrum 48 (the way of the exploding fist is for 48K, anyhow you can check it in the place where you downloaded the game, i.e. sinclair infoseek at WOS,
http://www.void.jump.org), you have to use the cursor keys and enter for that. If the cursor keys don't work, then SHIFT+6 is DOWN and SHIFT+7 is UP.
3. Once you are in 48 BASIC, type J, CTRL+P, CTRL+P. You'll see
LOAD "" on your screen. Tap ENTER (in some emulators,
" is gotten pressing ALT+P instead of CTRL+P).
The game will load
If you are using a TZX file (which emulates the tape perfectly), you may want to use fast TZX loading. In X128 you can do this using tape options (I think you have to press F8, but I'm not quite sure... RTFM for that issue
).