Hi Madhu,
The below steps to be followed before running your scripts in QC,
1) Make sure QC QTP Addin is installed in your machine.
2) After creating test set in Test Lab, click on 'Select Tests' button. Test Plan Tree will be opened, there you need to select your corresponding QTP Script.
3) Now you can run your script by clicking Run icon in your Test Lab.
Good Luck
