my roms are in my internal drive in some GAMES folder or something...havent used it in a few days cuz ive been busy. however, u should be able to load em from pretty much anywhere you put em and can browse to with the emu. i just ftp'd them to the internal, 800games take up about a gig, so no need to have em in a usb.
like saveu said, white list=roms. if you dont get a white list (my initial problem first time i ran it), it just meant my roms were not SMC format. gd luck.