At first, the window for the emulation settings appears (BeBox only). The actual emulation is started by a click on "Start". Then the emulation window appears in which the C64 startup message is displayed.
Under Unix, there's no settings window yet. You have to copy the included "Frodo Prefs" file to "~/.frodorc" and edit it by hand (read "Prefs.cpp" to find out about the syntax of the settings file). You can quit from the running emulation by selecting the "Quit" menu item (BeBox) or by pressing F10 (Unix).