You should open the ROMs not with windows explorer but with the PJ64 main window.
On PJ64 go to File > Choose ROM directory, and select the directory where you store your ROMs.
Then use File > Refresh ROM list to fill the PJ64 main view with a list of your ROMs (and information about their compatibility). You need to refresh the list manually every time you add or remove a ROM, it doesn't update automatically at any time, even when you close and re-open PJ64.
Then double-click ROMs on the list to play them.