The same thing happened to me 6-7 years ago when I first played FF6.
An on-line friend had sent me an emulator and ROM.
I was new to the whole concept.
I said to him, OH MY GOD YOU CAN PLAY SUPER NINTENDO ON YOUR COMPUTER?!?!?!
It just seemed so remarkable at the time!
The beginning sequence kept looping and I asked my friend, uh how do I play?
So whew, I'm not the only one who didn't know how to start the game at first.
He will always have a special place in my heart for introducing me to Final Fantasy though.
It's an awesome game, I hope you love it as much as we do here on the board!