I used to be able to upload ROM's via ethernet cable bu i forgot how to, if you can remind me that will be great! P.S. i managed to get my joystick working thanks guys, when i recieve my buttons i will ask a question on how 1 button mirros another button on the keyboard etc, thanks
On your main PiPlay menu, there should be an IP address in the top right corner (if you have it on the network already). Plug that ip address into any web browser, and it will take you to the ROM uploader.
I used a xin-mo for my little iCade Pi :) It works great. I have heard that if you want to use it for 2 players though that it takes some tinkering. The iCade only comes with one joystick though so I didn't have to worry about that.