Let's suppose your collection is already on your hard disk.
This is what the screen will look like the first time you start Parley:
Click on Open an Existing Collection.
In the file selection dialog, navigate to the directory containing the data file, and select it by clicking on it. Depending on your system the file either opens immediately, or you have to click OK
Now, the file is loaded, and you move on to the Practice Setup screen: see the following section for further details.