I litterally did this yesterday...so...
First off... install project64... it is one of the few ones you actuall have to install...
Then download and extract your wanted game... so extract donkey kong.. and btw that was one of the first i downloaded also...lol
When u've extracted, double click the project64 executable or shortcut... when it's open, just click: File>>Open ROM...
then navigate to the donkeykong ROM... usually .v64 or .ROM extension.. and then your running

Anymore help just let me know
