Simply select File->Open ROM For GBA ROMS and File->OpenGameboy for Game Boy Color Or Game Boy (Original) ROMS.
(THE FOLLOWING IS TAKEN FROM TAMASHII HIROKA'S HACKING FAQ I DID NOT TYPE THIS AND I DO NOT CLAIM CREDIT) Mysticuno99 adds: "I just noticed something about your FAQ, about ROMs not opening up. Actually, when ROM opens up a white screen (especially Pokemon ROMs), all you have to do to open it up is click on "Options", go to 'Emulator', go to 'Save type' and click on 'Flash 128K' and then ROM should open up ^w^ "
When you want to record select Tools->Recording->Start AVI recording.
The sound will get out of sync after a while so mute the sound on the Emulator and put music to the video. Do this by going to Options-> Sound -> Mute