How it doesn't work? What happens? What are you doing?
Literally, download OXCE, install it, download X-COM FILES, unpack it, copy and paste all files from UFO folder (first screenshot) containing original game into UFO in the X-COM FILES (second screenshot, its from X-Piratez, but the rule and files are the same), then run the game, then click "mods" tab in the game, select X-COM FILES, game will restart, you can play.
Are you sure you are using correct version for windows (x64 vs x84), or is it even windows? Maybe you try to run it on mac, or something like that?