Hi hmc,
The PCXT core expects a VHD file that works as a virtual hard drive (hence the name), and/or files that are images of floppy disks.
When you have an empty VHD file and/or an empty floppy disk image, it's pretty much as if you have a PC with an unformatted floppy and an unformatted hard disk. Basically you need to start at the same point as if you were in front of a real machine.
Fortunately, there are pre-recorded floppy disk images with an operating system that you can use to format the virtual HD and install the system to. Then, just as in a real machine, you can use floppies (floppy disk images) to transfer files to that virtual HD, or directly execute them from the floppy.
There are some tips and tricks that allow you to transfer files directly to your virtual HD image without using floppy disk images as an intermediate step. However. unlike the 486 core, the PCXT core does not currently have a tool that allows you to access a shared folder in your games/pcxt folder.
Let's say that the price of the amazing accuracy attained by the PCXT core has the price of not making it so easy to deal with files and folders as in many emulators around.