Because I'm using the german emulator, I don't know the naming of the english one.
But there must be a menu "Options" or something like that. The trick is to name a deskop folder which can be accessed as a storage card on the device emulator.
1.start Poket pc coldboot (only one,many slow)
2. Click on File and Configure
3. In Shared Folder choose your folder of hard-disk (c:\tmp is ok!)
4. After click on File and Save State and Exit
5. start Pocket pc - SaveState (very fast)
Use File Explorer and now you see a folder named "Storage Card"
"Storage Card" is "c:\tmp"
Put your file (jpg;mp3;exe in "c:\tmp" and you see they in "Storage Card"