Welcome to Amiga! You might wanna read some FAQs on Amiga Emulation.
The ADF is a image file of a Amiga disk. To use it you need to mount the image as a disk in the Emulator.
Alternatively I have set up my sys to load WinUAE and boot the disk when I double click the ADF file in Windows XP!
Create the ADF as a file type and set WinUAE as the program, then add the following to the file type:
"D:\WinUAE\WinUAE.exe" -0 "%1"
With the path set to your Emulator, this should work fine. In WinUAE you will also have to set the Emulation as a Amiga 500 by setting all the options and make sure the floppy drives are empty and do not have df0.adf in them, then save it as "Default" You will have to play with the settings to get it to work right. This may be a little much to get it to do this.
Good luck.