Anna posted some good information and to continue on that ....
Coco emulation with MESS has no provision for running .bin files directly. They must be mounted on a disk image, the most common type being .dsk. There is one other type of file used with Basic on a Coco, .bas.
Basic files can be started from a .dsk image with
Machine language files on .dsk require one of two methods depending on whether they are self-starting.
There are also OS-9 programs that run under Coco emulation. These may or may not require first starting OS-9. Some will start merely after mounting the disk with an .os9 extension and entering
While this forum is the best place for learning about MESS, there are specific Coco related forums and a mail server.
Send me a message and I will supply urls.