Perhaps the simplest way is to add the file as "Content" to your project using Solution Explorer and then deploy the project to the emulator. Then find the file and run it.
Note: "Left Slash" = /, "Right Slash" =
In Windows CE, copy the file to a shared directory on your desktop and then using the "Run" command, execute
"Right Slash""Right Slash"Desktop"Right Slash"Share.
Then either run the file direct or copy / paste to a directory inside the emulator and then run it.
In PPC, use IE and type
file:"LeftSlash""LeftSlash""Right Slash""Right Slash"Desktop"Right Slash"Share and follow the same procedure.
Alternatively, use "File Explorer/Open" and then
""Right Slash""Right Slash"Desktop"Right Slash"Share
You can also use "Emulator ActiveSync Connection Tool - Allows Activesync to connect to your Emulator session from Visual Studio .NET 2003" from "Windows Mobile Developer Power Toys" available here:
(Note: There are two downloads. You need to download "EmuASConfig.msi").
Once connected via ActiveSync, you could use "CECopy - Command line tool for copying files to the device currently connected to desktop ActiveSync" also available from the Power Toys link above.