I think there are 2 possibilities here: Prepare to be either helped or patronised
1. Some snapshots are 128K, most are 48K
You need to select the right type of speccy to get your snapshot to work.
I think speccyalK naturally boots up in 128K mode so if you are trying to use the more common 48K snapshots then nothing will happen.
Try going to the menu (L + R) and select 48K speccy.
Close the menu by hitting select.
Now press start to reset the emulator in 48K mode.
NOW press R to load your snapshot - hopefully it should load then!
2.Are you using .tap files?
You see the spectrum didn't have ROMS. Everything used to load off tapes so if you are using a tape file then you have to type the right things into the spectrum to make it load. (similar to the C64 emulator I think)
On a spectrum you can load games in 128K mode by just pressing enter (Both emulators have a virtual keyboard to let you do this)
48K mode is a little more complicated: you need to type in load"".
You do this by typing:
j p+symbolshift p+symbol shift.
I hope one of these suggestions is helpful.