Create a subfolder named ROMs inside your emulator directory and place the Knuckles' Chaotix file there.
Since there is no native PC version, you will need a 32X emulator and a copy of the game's ROM file. : knuckles chaotix pc download
The original game used a battery backup system. Emulators allow you to use "Save States" to save your exact progress instantly at any point during a level, making it much easier to collect all the Chaos Rings. Create a subfolder named ROMs inside your emulator