With the citation code added, you need to insert the desired reference from your .bib file. There are a variety of ways to do this. The most straightforward way is to use a drop down list that appears once you begin adding the citation code; unfortunately a drop down does not appear when you type \parencite{}. This seems to be a quirk of the biber citation format that afflicts some systems. Fortunately there is a simple work-around if this happens to you. Begin with the standard \cite{} code. This is recognized by editor and a drop down list of all the references in the .bib file should appear. Add the desired reference(s), then go back and change \cite to \parencite while retaining the citation.
Now that you have added references to your document, a complete reference section will be created each time you compile. No more having to go back through each of your citations and manually create a reference list. Your references will appear in alphabetical order by the first author's last name, and redundant citations will be listed only once. References will be added or removed from your document each time you compile based on the changes you make as you write. Keep in mind that the extent to which your references comply with APA 6th is contingent upon their proper entry into Zotero. If you have entered information incorrectly (e.g., capitalized all words in the title of a journal article) your reference will still print with these errors.

Why So Many Files?

Like all LaTeX editors, Texmaker will produce multiple files when compiling a document so it's useful to create a unique folder (i.e., directory) for each document you plan to create. Among these files, you will typically just be concerned with two: the .txt file and the .pdf file.