I have actually figured this issue out, I will go step by step on what you need to do to fix this!
1.)Okay so simply put start your game.
2.)Next select the starter you wish to have. (you will battle blue after this)
3.)Next move on and grab the item from the pokemart from the clerk and return to professor oak.
4.)After that simply save your game by opening your bag in the game then save your save file ( REMEMBER YOUR SAVE FILE WILL BE WHERE YOUR SAVE FILES GO!)
5.)Make sure your save state is saved as a file type called sav.
6.)Simply find the sav file located where it was saved and right click it with your mouse button, then select copy.
7.)Next be sure to paste your sav file into the pkhex's open files folder then select the folder and you will have been all set up!
8.)Next select the pokemon you want to have emulated on your team, then click the file button and scroll down to "Export SAV"
9.)once you do this simply export it back to where your file is to open the rom, start the game, and BOOM! you got all your pokemon ready to be battle with you!
Now good luck all you new and old trainers and good luck becoming a champion!