One-time setup: the P/ECE's system software is not included. Aquaplus offers it as a free download: get update120.exe from the official update page and choose it here. (An all.bin, or a .pfi image from another emulator, works too.) It stays on this device.
No games are included. Import P/ECE programs: a .pex with the files that came with it, or the download as it is (.zip, .lzh, or one of Aquaplus's self-extracting .exe files). Each game gets a P/ECE of its own.