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You need to select the source files. You can go through the available examples in the software. you need to select the hex file for the your code.
and you need to install the driver in Keil u vision. if you are using it with KEIL to compile it.
you need to select the simulator/ debugger in the selection list.
you need to set all xtal freq. and other which are available in basic setting toolbar.
Then you can run it. I would suggest you to start with simple analog circuit. then check the working of it.