There are already a couple of good threads that explain how to load ROMs if you are connected to the internet, but for those that are not, here is an alternative method using a USB stick or a Flash Drive.

Load the ROMs to the USB stick or Flash Drive from the computer that you have them stored on.
To keep things simple I loaded them into separate folders for the different systems (ex: SNES, Genesis, Atari...)

Next, boot up the Raspberry PI and when you are at the main screen press ESC on the keyboard and type in "startx"
This will run some code, if it goes back to the PiPlay screen again, just press ESC again and you should now be in the desktop environment of the Raspberry Pi.

From here it is very easy to get the ROMs loaded since it is very similar to using a PC.
Plug the USB stick or Flash Drive in and view the files.
On the lower left corner of the screen (Next to where the start button is on windows) click on File Manager.
Navigate to the PiPlay folder, find the folder named ROMS, and drag and drop the ROMs from your Flash Drive into the respective folders for the emulators.

After this all I do is reboot and the games are ready to play.

Note: Make sure the ROMs are not zipped, the emulators will not be able to open zip files.

Hope this helps some less than tech savvy users out there.