whats wrong with the
general faq? Tells you exactly what you need to do
If you followed it you'd have a) installed emule b) opened up the firewall/router c) connected to a server d) added a link to emule. That's all you need. If you've done all this then I'd suspect that you are either downloading something without sources or are expecting it instantly to download; it doesn't. Its based around a queuing system.
elchupacabra has a point though, if you want an answer, ask a question and we'll be able to help.