CSpect runs off an SD Card image (the one you would have used when you set up the emulator - that has all the operating system, etc). You need to unzip and copy the files from here onto the 'SD Card' for the emulator.
The tool you need is HDFM-Gooey - its a file manager between the SD card image and the windows hard drive. But what's also very cool is that it installs CSpect, check for updates, SD cards and can help get everything working...
There's a great tutorial that covers how to get started... Worth a watch.