All of Atari800Win's files from the emulator zipfile should go in the emulator's base folder (let's call it c:atari800 for example). The system roms (atarixl.rom, atariosb.rom, ataribas.rom, 5200.rom) can go in any folder you want. It doesn't matter where you put them. I just keep mine in the same folder as Atari800Win.
What you need to do is run the emulator, and when it crashes change the settings so that it can find these roms (pick Atari at the top and select Roms...or press alt-R). In that menu, you can press the on-screen buttons at the left to browse over to where the .rom files are...you need to do each one seperately.
Again, it does not matter where you put them, what matters is that you browse to them in Atari800Win's setup.
Once the roms are located, you can hit shift-F5 to reboot the emulator. You can select disk images (like dos25.atr) by using alt-D. This is like you had put a floppy disk into a drive...in other words, you can swap disks by using alt-D if you need to DURING A GAME. It will not "reboot" the system on it's own. Again, these disk images can be in any folder on your computer. By using alt-D, you just browse over to the disk that you want to insert.
Hard drive files cannot be accessed unless you have the hard drive patch active. This is a little checkmark that is placed under Atari->Options. When this option is selected, you can load
individual files from your computer. This is similar to using disk images, except that the physical space of an entire disk (sectors, directory, empty sectors) is not stored in the file. Why is this important? For one thing, it's a super-speedy way of "typing" in a program. If the program is already saved on your PC as a text file, you can use ENTER to load it into the emulated Atari. Remember back in the day when you wished that some gadget would type those magazine programs in for you? Here it is

(use a scanner to grab the pages, convert the scan to text, ENTER it into the emulator). Anyway, the folders that are accessed by using the hard drive function are selected by using alt-H and browsing over to the folders. Think of these selections as being HUGE floppy disks
Cartridges that are .rom/.bin files can be selected by using alt-C. As usual, you browse over to the one you want. You do not need to use this when loading the Basic or OS cartridges...those are already selected in the menu I already mentioned up top. You can disable the Basic cartridge when booting by checking off that option in the Atari->options menu.
Naturally, mixing two different types of hardwares (like loading a 5200 cartridge into an emulated 130XE) will crash the emulator. If this happens, just go back and select the proper machine type or file.