This isn't a fan game of anything, so I'm unsure if you're posting in the right place?
If you are wanting to run Delia: The Traveling Witch, it'd be good to know what file you are trying to run. If you downloaded the ROM you should emulate that like you would other gameboy roms - Visualboy is a really light emulator you can download. At that point you just run the .gb file within Visualboy (or whatever emulator you are using)
If you downloaded the WEB version, you run that through your browser, like Chrome or Firefox. You can also play the version that's on this page!